International portfolio diversification and endogenous labor supply choice

被引：13

作者：

Jermann, UJ

机构：

[1] Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA

[2] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA

[3] Natl Bur Econ Res, Cambridge, MA 02138 USA

来源：

EUROPEAN ECONOMIC REVIEW | 2002年 / 46卷 / 03期

关键词：

international diversification; portfolio choice; nonseparable utility; household production;

D O I：

10.1016/S0014-2921(01)00149-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper presents a multi-country general equilibrium model driven by productivity shocks, where labor Supply and consumption are chosen endogenously. We use this framework to study the effect of labor supply for optimal international diversification. We find that the model's ability to help explain home-bias depends crucially on the level of substitutability between consumption and non-working time. Quantitatively, the non-separability in the preferences helps in a nonnegligible way, but it cannot entirely explain the extreme degree of home-bias in U.S. portfolios. (C) 2002 Elsevier Science B,V. All rights reserved.

引用

页码：507 / 522

页数：16

共 24 条

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