INTERNATIONAL RISK-SHARING AND NONTRADED GOODS
成果类型：
Article
署名作者：
TESAR, LL
刊物名称：
JOURNAL OF INTERNATIONAL ECONOMICS
ISSN/ISSBN：
0022-1996
DOI：
10.1016/0022-1996(93)90005-I
发表日期：
1993
页码：
69-89
关键词：
摘要：
The high correlation between savings and investment, the low cross-country correlation between consumption growth rates and the home bias in investment portfolios have been interpreted as evidence that international financial markets are insufficient for complete risk-sharing. This paper demonstrates that these facts are consistent with complete financial markets when agents face stochastic fluctuations in the output of non-traded goods. Consumer preferences over traded and non-traded goods and over the intertemporal allocation of consumption may skew portfolios toward claims on domestic output. A dynamic version of the model calibrated to estimates of the parameters describing preferences and technology replicates the main features of savings, investment, consumption and output.
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