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International Portfolio Diversification and Endogenous Labour Supply Choice

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Author Info
Jermann, U.J.

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Abstract

This paper presents a multi-country general equilibrium model driven by productivity shocks, where labor supply and consumption are chosen endogenously. Weuse 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 substituability between consumption and non-working time.

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Publisher Info
Paper provided by Wharton School - Weiss Center for International Financial Research in its series Weiss Center Working Papers with number 98-06.

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Length: 22 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:fth:pennif:98-06

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Related research
Keywords: FINANCIAL ASSETS ; INTERNATIONAL FINANCE;

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Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
F30 - International Economics - - International Finance - - - General

Cited by:
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  1. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice," IMF Working Papers 07/163, International Monetary Fund. [Downloadable!]
  2. Charles Engel & Akito Matsumoto, 2009. "The International Diversification Puzzle when Goods Prices are Sticky: It's Really about Exchange-Rate Hedging, not Equity Portfolios," IMF Working Papers 09/12, International Monetary Fund. [Downloadable!]
    Other versions:
  3. Arie Kapteyn & Federica Teppa, 2009. "Subjective Measures of Risk Aversion, Fixed Costs, and Portfolio Choice," DNB Working Papers 216, Netherlands Central Bank, Research Department. [Downloadable!]
  4. Kapteyn, A. & Teppa, F., 2002. "Subjective measures of risk aversion and portfolio choice," Discussion Paper 11, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  5. Charles Engel & Akito Matsumoto, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 05/165, International Monetary Fund. [Downloadable!]
    Other versions:
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