Do trade costs in goods market lead to home bias in equities?

• 成果类型: Article
• 署名作者: Coeurdacier, Nicolas
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2008.10.005
• 发表日期: 2009
• 页码: 86-100
• 关键词: Trade costs; HOME BIAS; portfolio choice; International macroeconomics

摘要

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, 151, 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. (c) 2008 Elsevier B.V. All rights reserved.