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Do Nontraded Goods Explain the Home Bias Puzzle?

Author: Paolo Pesenti; Eric Van Wincoop
Publisher: Cambridge, Mass. National Bureau of Economic Research 1996.
Series: Working paper series (National Bureau of Economic Research), no. w5784.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Interpretations of the home bias puzzle in international finance have fre- quently focused on the role of fluctuations in domestic nontraded output, through their effects on the marginal utility of tradables consumption. This paper assesses the empirical evidence of this aproach, by deriving an explicit solution for the optimal international portfolio and applying the model to a set of fourteen OECD countries.  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Paolo Pesenti; Eric Van Wincoop
OCLC Number: 1027346734
Notes: October 1996.
Description: 1 online resource.
Series Title: Working paper series (National Bureau of Economic Research), no. w5784.
Responsibility: Paolo Pesenti, Eric van Wincoop.

Abstract:

Interpretations of the home bias puzzle in international finance have fre- quently focused on the role of fluctuations in domestic nontraded output, through their effects on the marginal utility of tradables consumption. This paper assesses the empirical evidence of this aproach, by deriving an explicit solution for the optimal international portfolio and applying the model to a set of fourteen OECD countries. Computing asset returns according to a `fundamentals' approach, it is possible to account for an average gap of no more than 10-15 percantage points between estimated domestic ownership shares and domestic shares under full diversification. When stock-market data are directly used, the predicted coefficient of home bias shrinks to 3%.

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