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

  title={International Real Business Cycles , Portfolio Diversi cation and Valuation E ¤ ects},
  author={Andrea Civelli and andrea. civelli},
  • 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
Highly Cited
This paper has 58 citations. REVIEW CITATIONS
44 Citations
9 References
Similar Papers


Publications citing this paper.


Publications referenced by this paper.
Showing 1-9 of 9 references

The international diversi … cation puzzle is not as bad as you think " , Mimeo , University of Minnesota

  • J. Heathcote, F. Perri
  • 2008
1 Excerpt

The external wealth of nations mark II : Revised and extended extimates of foreign assets and liabilities , 19702004 "

  • G. M. Milesi-Ferretti
  • Journal of International Economics
  • 2007

Are There Thresholds of Current Account Adjustment in the G 7 ? " , NBER Working Paper 12193

  • M. Goretti Gali R., M. Taylor
  • 2006

The US Current Account De … cit and the Expected Share of World Output "

  • C. Engel, J. Rogers
  • Journal of Monetary Economics
  • 2006
1 Excerpt

Solving General Equilibrium Models with Incomplete Markets and Many Assets " , NBER Technical Working Paper 0318

  • M Evans, V. Hnatkovska
  • 2005
1 Excerpt

Similar Papers

Loading similar papers…