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Mots-clés
Trade costs Home bias Portfolio choice International macroeconomics F - International Economics/F.F3 - International Finance/F.F3.F30 - General F - International Economics/F.F3 - International Finance/F.F3.F36 - Financial Aspects of Economic Integration F - International Economics/F.F4 - Macroeconomic Aspects of International Trade and Finance/F.F4.F41 - Open Economy MacroeconomicsSujets proches
Trade Commercial trade Foreign trade Trade TradeCiter ce document
Nicolas Coeurdacier, « Do trade costs in goods market lead to home bias in equities? », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.rpjq95
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Résumé
Two of the main puzzles in international economics are the consumption and the portfolio home biases. We solve for international equity portfolios in a two-country/two-good stochastic equilibrium model with trade costs in goods markets. We show that introducing trade costs, as suggested by Obstfeld and Rogoff [Obstfeld, M., Rogoff, K., 2000a. The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? NBER Macroeconomics Annual, 15], is not sufficient to explain these two puzzles simultaneously. On the contrary, we find that trade costs create a foreign bias in portfolios for reasonable parameter values. This result is robust to the addition of non-tradable goods for standard calibrations of the preferences.