International Real Business Cycles , Portfolio Diversi cation and Valuation E ¤ ects

@inproceedings{Civelli2015InternationalRB,
  title={International Real Business Cycles , Portfolio Diversi cation and Valuation E ¤ ects},
  author={Andrea Civelli and andrea. civelli},
  year={2015}
}
  • Andrea Civelli, andrea. civelli
  • Published 2015
This paper presents an international real business cycle model in the spirit of Backus, Kehoe, and Kydland (92) with endogenously determined portfolio allocations under incomplete markets. It jointly studies the properties of the portfolio side of the economy, which includes the valuation e¤ects, asset returns and portfolio allocations, along with the more typical international macro variables. The model generates a substantial portfolio home bias, which is dependent on the combination of the… CONTINUE READING
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