This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
The Spirit of Capitalism and International Risk Sharing Author info | Abstract | Publisher info | Download info | Related research | Statistics Timothy K. Chue
We show that a model of the spirit of capitalism can generate a high degree of international risk sharing as measured by the discount-factor-based approach of Brandt, Cochrane, and Santa-Clara (2001), even when consumption and portfolio holdings exhibit "home bias". We also show how portfolio externalities can arise in the model, and highlight the caution that one needs in interpreting discount-factor-based measures of international risk sharing: in the presence of portfolio externalities, even when the measured degree of risk sharing is perfect, it is still possible for government policies to induce investors to hold better-diversified portfolios and attain higher welfare
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number
589.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: 11 Aug 2004Date of revision:
Handle: RePEc:ecm:feam04:589Contact details of provider: Phone: 1 212 998 3820 Fax: 1 212 995 4487 Email: Web page: http://www.econometricsociety.org/pastmeetings.asp More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: The spirit of capitalism ; International risk sharing ; Discount factor ; Portfolio externality. ; Find related papers by JEL classification: G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions G15 - Financial Economics - - General Financial Markets - - - International Financial Markets F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Huberman, Gur, 2001.
"Familiarity Breeds Investment ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 14(3), pages 659-80.
Raman Uppal & Tan Wang, 2003.
"Model Misspecification and Underdiversification ,"
Journal of Finance ,
American Finance Association, vol. 58(6), pages 2465-2486, December.
[Downloadable!] (restricted)
Esther Duflo & Emmanuel Saez, 2000.
"Participation and Investment Decisions in a Retirement Plan: The Influence of Colleagues' Choices ,"
NBER Working Papers
7735, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Karen K. Lewis, 1999.
"Trying to Explain Home Bias in Equities and Consumption ,"
Journal of Economic Literature ,
American Economic Association, vol. 37(2), pages 571-608, June.
[Downloadable!] (restricted)
Bakshi, Gurdip S & Chen, Zhiwu, 1996.
"The Spirit of Capitalism and Stock-Market Prices ,"
American Economic Review ,
American Economic Association, vol. 86(1), pages 133-57, March.
[Downloadable!] (restricted)
Michael W. Brandt & John H. Cochrane & Pedro Santa-Clara, 2001.
"International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth) ,"
NBER Working Papers
8404, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Michael Brandt & John Cochrane & Pedro Santa-Clara, 2001.
"International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth! ,"
University of California at Los Angeles, Anderson Graduate School of Management
1015, Anderson Graduate School of Management, UCLA.
[Downloadable!] Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2001.
"International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth) ,"
Working Papers
01-2, University of Pennsylvania, Wharton School, Weiss Center.
[Downloadable!] Michael J. Brennan. and H. Henry Cao., 1997.
"International Portfolio Investment Flows ,"
Research Program in Finance Working Papers
RPF-271, University of California at Berkeley.
[Downloadable!]
Grossman, Sanford J. & Shiller, Robert J., 1982.
"Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information ,"
Journal of Financial Economics ,
Elsevier, vol. 10(2), pages 195-210, July.
[Downloadable!] (restricted)
Joshua D. Coval & Tobias J. Moskowitz, 2001.
"The Geography of Investment: Informed Trading and Asset Prices ,"
Journal of Political Economy ,
University of Chicago Press, vol. 109(4), pages 811-841, August.
[Downloadable!] (restricted)
Stockman, Alan C. & Dellas, Harris, 1989.
"International portfolio nondiversification and exchange rate variability ,"
Journal of International Economics ,
Elsevier, vol. 26(3-4), pages 271-289, May.
[Downloadable!] (restricted)
Dumas, Bernard & Uppal, Raman, 2001.
"Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 14(1), pages 277-305.
Uppal, Raman, 1993.
" A General Equilibrium Model of International Portfolio Choice ,"
Journal of Finance ,
American Finance Association, vol. 48(2), pages 529-53, June.
[Downloadable!] (restricted)
Brennan, Michael J & Cao, H Henry, 1997.
" International Portfolio Investment Flows ,"
Journal of Finance ,
American Finance Association, vol. 52(5), pages 1851-80, December.
[Downloadable!] (restricted)
Black, Fischer, 1974.
"International capital market equilibrium with investment barriers ,"
Journal of Financial Economics ,
Elsevier, vol. 1(4), pages 337-352, December.
[Downloadable!] (restricted)
Smith, William T, 2001.
"How Does the Spirit of Capitalism Affect Stock Market Prices? ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 14(4), pages 1215-32.
Cooper, Ian & Kaplanis, Evi, 1994.
"Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 7(1), pages 45-60.
[Downloadable!] (restricted)
Sanford J. Grossman & Robert J. Shiller, 1982.
"Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information ,"
NBER Working Papers
0690, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Kang, Jun-Koo & Stulz, Rene M., 1997.
"Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan ,"
Journal of Financial Economics ,
Elsevier, vol. 46(1), pages 3-28, October.
[Downloadable!] (restricted)
Other versions:
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Eric R. Young, 2004.
"The Wealth Distribution and the Demand for Status ,"
Macroeconomics
0410008, EconWPA.
[Downloadable!]
Other versions:
Access and
download statistics Did you know? Springer Verlag was the first commercial publisher to be listed on RePEc .
This page was last updated on 2009-11-25.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .