A Multi-country Real Business Cycle Model with Heterogeneous Agents
AbstractA multicountry real business cycle model is developed capturing two important aspects of heterogeneity found in household survey data: only a small fraction of the population holds stock and a significant fraction of nonstockholders are borrowing constrained. The model is applied to data for twenty OECD countries. It generates cross-country consumption correlations consistent with those observed in the data. Potential welfare gains from international portfolio diversification by stockholders are large, leaving the observed 'home bias' as a significant puzzle. The model can also account for the finding in U.S. data that consumption of stockholders is more volatile than that of nonstockholders. Copyright 1996 by The editors of the Scandinavian Journal of Economics.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.
Volume (Year): 98 (1996)
Issue (Month): 2 (June)
Contact details of provider:
Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Paolo Pesenti & Eric van Wincoop, 1996. "Do Nontraded Goods Explain the Home Bias Puzzle?," NBER Working Papers 5784, National Bureau of Economic Research, Inc.
- van Wincoop, Eric, 1999.
"How big are potential welfare gains from international risksharing?,"
Journal of International Economics,
Elsevier, vol. 47(1), pages 109-135, February.
- Eric van Wincoop, 1998. "How big are potential welfare gains from international risksharing?," Staff Reports 37, Federal Reserve Bank of New York.
- Gao, Xiaodan & Hnatkovska, Viktoria & Marmer, Vadim, 2012. "Limited Participation in International Business Cycle Models: A Formal Evaluation," Microeconomics.ca working papers vadim_marmer-2012-1, Vancouver School of Economics, revised 21 Dec 2013.
- Bottazzi, Laura & Pesenti, Paolo & van Wincoop, Eric, 1996. "Wages, profits and the international portfolio puzzle," European Economic Review, Elsevier, vol. 40(2), pages 219-254, February.
- Eva de Francisco, 2005. "Limited Participation, Income Distribution and Capital Account Liberalization," Computing in Economics and Finance 2005 454, Society for Computational Economics.
- Stefano ATHANASOULIS & Eric VAN WINCOOP, 1997.
"Growth Uncertainty And Risksharing,"
41, Iowa State University Department of Economics.
- Stefano Athanasoulis & Robert Shiller & Eric van Wincoop, 1999. "Macro markets and financial security," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 21-39.
- Bacchetta, Philippe & van Wincoop, Eric, 2000.
"Trade in nominal assets and net international capital flows,"
Journal of International Money and Finance,
Elsevier, vol. 19(1), pages 55-72, February.
- Bacchetta, Philippe & van Wincoop, Eric, 1997. "Trade in Nominal Assets and Net International Capital Flows," CEPR Discussion Papers 1569, C.E.P.R. Discussion Papers.
- Eva de Francisco, 2005. "Limited Participation, Income Distribution and Capital-Account Liberalization: Working Paper 2005-02," Working Papers 16302, Congressional Budget Office.
- Lee, Khang Min & Moyen, Nathalie, 2006. "Optimal liberalization of financial markets," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1319-1335, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.