International Portfolio Diversification and Labor/Leisure Choice
AbstractWhen marginal utility of consumption depends on leisure, investors will take this into account when allocating their wealth among different assets. This paper presents a multi-country general equilibrium model driven by productivity shocks, where labor-leisure and consumption are chosen endogenously. We use this framework to study the effect of leisure for optimal international diversification. We find that in the symmetric case the model's ability to help explain home-bias depends crucially on the level of substitutability between consumption and leisure.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 6382.
Date of creation: Jan 1998
Date of revision:
Publication status: published as Jermann, Urban J. "International Portfolio Diversification And Endogenous Labor Supply Choice," European Economic Review, 2002, v46(3,Mar), 507-522.
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Other versions of this item:
- Urban J. Jermann, 1997. "International portfolio diversification and labor/leisure choice," Discussion Paper / Institute for Empirical Macroeconomics 119, Federal Reserve Bank of Minneapolis.
- F30 - International Economics - - International Finance - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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