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Home Bias and the Structure of International and Regional Business Cycles

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  • Michael ARTIS
  • Mathias HOFFMANN

Abstract

We estimate Shiller portfolio weights for OECD countries and US states. We find that the income of US federal states is derived to about 50 percent from own output, that of OECD countries to about 60 percent.This suggests that US states display considerable ’home bias at home’ and that the international portfolio home bias may be relatively less severe than evidence based on models of optimal portfolio allocation would suggest. We relate the estimated portfolio weights to the structure of regional and international business cycles. In particular, we can reproduce the empirical evidence on inter-state and international income flows.

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Bibliographic Info

Paper provided by European University Institute in its series Economics Working Papers with number ECO2003/15.

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Date of creation: 2003
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Handle: RePEc:eui:euiwps:eco2003/15

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Related research

Keywords: Consumption Risk Sharing; International and regional business cycles; Capital flows; Home Bias; Non-stationary panel data;

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Cited by:
  1. Vincent Labhard & Michael Sawicki, 2006. "International and intranational consumption risk sharing: the evidence for the United Kingdom and OECD," Bank of England working papers 302, Bank of England.

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