摘要：This paper presents a model of international portfolio choice based on
cross-country differences in relative factor abundance. Countries have varying
degrees of similarity in their factor endowment ratios, and are subject to
aggregate productivity shocks. Risk averse consumers can insure against these
shocks by investing their wealth at home and abroad. In a many-good setup, the
change in relative prices after a positive shock in a particular country
provides insurance to countries that have dissimilar factor endowment ratios,
but is bad news for countries with similar factor endowment ratios, since their
incomes will worsen. Therefore countries with similar relative factor endowments
have a stronger incentive to invest in one another for insurance purposes than
countries with dissimilar endowments. Empirical evidence linking bilateral
international investment positions to a proxy for relative factor endowments
supports our theory: the similarity of host and source countries in their
relative capital-labor ratios has a positive effect on the source country’s
investment position in the host country. The effect of similarity is enhanced by
the size of host countries as predicted by the theory.
