International equity and bond positions in a DSGE model with variety risk in consumption

Masashige Hamano*

*この研究の対応する著者

研究成果: Article査読

10 被引用数 (Scopus)

抄録

This paper analyzes equity and bond positions in a two-country Dynamic Stochastic General Equilibrium model where the number of varieties, i.e., the extensive margins of products available to consumers, is endogenously determined. Fluctuations in the welfare-based real exchange rate, including those in the number of varieties, matter to international consumption risk sharing. We investigate the implication of such "variety risk" for the optimal portfolio choice and show that the variety risk generates home-biased equity positions, strengthening those obtained with the standard model in the literature. We also find preliminary empirical support for the mechanism.

本文言語English
ページ(範囲)212-226
ページ数15
ジャーナルJournal of International Economics
96
1
DOI
出版ステータスPublished - 2015 5月 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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