کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963141 930268 2009 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Do trade costs in goods market lead to home bias in equities?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Do trade costs in goods market lead to home bias in equities?
چکیده انگلیسی
Two of the main puzzles in international economics are the consumption and the portfolio home biases. We solve for international equity portfolios in a two-country/two-good stochastic equilibrium model with trade costs in goods markets. We show that introducing trade costs, as suggested by Obstfeld and Rogoff [Obstfeld, M., Rogoff, K., 2000a. The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? NBER Macroeconomics Annual, 15], is not sufficient to explain these two puzzles simultaneously. On the contrary, we find that trade costs create a foreign bias in portfolios for reasonable parameter values. This result is robust to the addition of non-tradable goods for standard calibrations of the preferences.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Economics - Volume 77, Issue 1, February 2009, Pages 86-100
نویسندگان
,