When bonds matter: Home bias in goods and assets

• 成果类型: Article
• 署名作者: Coeurdacier, Nicolas; Gourinchas, Pierre-Olivier
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2016.07.005
• 发表日期: 2016
• 页码: 119-137
• 关键词: International risk sharing; International portfolios; Equity home bias

摘要

This paper presents a model of international portfolios with real exchange rate and non-financial risks that account for observed levels of equity home bias. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risks. Equity home bias arises when non-financial income risk is negatively correlated with equity returns, after controlling for bond returns. Our framework allows us to derive equilibrium bond and equity portfolios in terms of directly measurable hedge ratios. An empirical application to G-7 countries finds strong empirical support for the theory. We are able to account for a significant share of the equity home bias and obtain an aggregate currency exposure of bond portfolios comparable to the data. (C) 2016 Elsevier B.V. All rights reserved.