| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17691 |
| 来源ID | Working Paper 17691 |
| Home Bias in Open Economy Financial Macroeconomics | |
| Nicolas Coeurdacier; Hélène Rey | |
| 发表日期 | 2011-12-22 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | Home bias is a perennial feature of international capital markets. We review various explanations of this puzzling phenomenon highlighting recent developments in macroeconomic modelling that incorporate international portfolio choices in standard two-country general equilibrium models. We refer to this new literature as Open Economy Financial Macroeconomics. We focus on three broad classes of explanations: (i) hedging motives in frictionless financial markets (real exchange rate and non-tradable income risk), (ii) asset trade costs in international financial markets (such as transaction costs or differences in tax treatments between national and foreign assets), (iii) informational frictions and behavioural biases. Recent theories call for new portfolio facts beyond equity home bias. We present new evidence on crossborder asset holdings across different types of assets: equities, bonds and bank lending and new micro data on institutional holdings of equity at the fund level. These data should inform macroeconomic modelling of the open economy and a growing literature of models of delegated investment. |
| 主题 | International Economics ; International Factor Mobility ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17691 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575366 |
| 推荐引用方式 GB/T 7714 | Nicolas Coeurdacier,Hélène Rey. Home Bias in Open Economy Financial Macroeconomics. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17691.pdf（529KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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