| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3110 |
| DP3110 Financing Decisions of Firms and Central Bank Policy | |
| Jacques Olivier; Ai Ting Goh | |
| 发表日期 | 2001-11-21 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This Paper solves for optimal international portfolio choice in the presence of liquidity constraints and undiversifiable labour income risk. Optimal portfolios are internationally diversified while positive correlation between domestic stock market returns and permanent labour income shocks can worsen the home equity bias puzzle. Nevertheless, either small costs associated with investing abroad or a slightly positive domestic to foreign equity premium differential are sufficient to either deter households from participating in a foreign market or generate a substantial bias for home equities. The benefits of international diversification are limited because consumption fluctuations can be smoothed with a small amount of buffer stock saving, while exchange rate risk makes foreign investments less appealing to risk averse investors. |
| 主题 | International Macroeconomics |
| 关键词 | International portfolio choice Home equity bias Liquidity constraints Information costs |
| URL | https://cepr.org/publications/dp3110 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532104 |
| 推荐引用方式 GB/T 7714 | Jacques Olivier,Ai Ting Goh. DP3110 Financing Decisions of Firms and Central Bank Policy. 2001. |
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