Asset liquidity and international portfolio choice

• 成果类型: Article
• 署名作者: Geromichalos, Athanasios; Simonovska, Ina
• 署名单位: University of California System; University of California Davis; National Bureau of Economic Research
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.01.004
• 发表日期: 2014
• 页码: 342-380
• 关键词: Search models; liquidity; Asset home bias; Consumption home bias; Asset turnover

摘要

We study optimal portfolio choice in a two-country model where assets represent claims on future consumption and facilitate trade in markets with imperfect credit. Assuming that foreign assets trade at a cost, agents hold relatively more domestic assets. Consequently, agents have larger claims to domestic over foreign consumption. Moreover, foreign assets turn over faster than domestic assets because the former have desirable liquidity properties, but represent inferior saving tools. Our mechanism offers an answer to along-standing puzzle in international finance: a positive relationship between consumption and asset home bias coupled with higher turnover rates of foreign over domestic assets. (C) 2014 Elsevier Inc. All rights reserved.