期刊名称：Discussion Paper / Series 1, Economic Studies / Deutsche Bundesbank
出版年度：2010
出版社：Deutsche Bundesbank
摘要：We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the 'home bias' in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if agents have an incentive to hedge labor income risk by purchasing foreign equity. This is because the existence of a retail sector affects both the correlation of domestic returns with the domestic price level and the correlation between financial and nonfinancial income. --
关键词：International Financial Market Integration; International Risk Sharing; Home Bias;
