Utilizad este identificador para citar o enlazar este documento: http://hdl.handle.net/2072/171817

A New open economy macroeconomic model with endogenous portfolio diversification and firms entry
Arespa, Marta
Xarxa de Referència en Economia Aplicada (XREAP)
This paper provides a new benchmark for the analysis of the international diversi…cation puzzle in a tractable new open economy macroeconomic model. Building on Cole and Obstfeld (1991) and Heathcote and Perri (2009), this model speci…es an equilibrium model of perfect risk sharing in incomplete markets, with endogenous portfolios and number of varieties. Equity home bias may not be a puzzle but a perfectly optimal allocation for hedging risk. In contrast to previous work, the model shows that: (i) optimal international portfolio diversi…cation is driven by home bias in capital goods, independently of home bias in consumption, and by the share of income accruing to labour. The model explains reasonably well the recent patterns of portfolio allocations in developed economies; and (ii) optimal portfolio shares are independent of market dynamics.
10-2011
Macroeconomics
Economic theory
33 - Economia
Macroeconomia
Teoria econòmica
Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i la xarxa i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)
41 p.
Documento de trabajo
Xarxa de Referència en Economia Aplicada (XREAP)
XREAP ; 2011-15
         

Documentos con el texto completo de este documento

Ficheros Tamaño Formato
XREAP2011-15.pdf 306.4 KB PDF

Mostrar el registro completo del ítem

Documentos relacionados