Home Bias in Open Economy Financial Macroeconomics
Home Bias in Open Economy Financial Macroeconomics
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DOI：
10.1257/jel.51.1.63
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发表时间：
2013-03-01
影响因子：
12.6
通讯作者：
Rey, Helene
中科院分区：
文献类型：
--
作者：
Coeurdacier, Nicolas;Rey, Helene
本土偏好是国际资本市场的一个长期特征。我们回顾了对这一令人困惑的现象的各种解释，重点介绍了将国际投资组合选择纳入标准两国一般均衡模型的宏观经济模型的最新发展。我们把这种新的文献称为开放经济金融宏观经济学。我们关注三大类解释：(i)无摩擦金融市场中的对冲动机（实际汇率和不可交易收入风险），（ii）国际金融市场中的资产交易成本（如交易成本或国内和外国资产之间的税收待遇差异），以及（iii）信息摩擦和行为偏差。最近的理论要求新的投资组合事实超越股票本土偏见。我们提供了跨不同类型资产的跨境资产持有的新证据：股票、债券和银行贷款，以及基金层面机构持有股票的新微观数据。这些数据应该为开放经济的宏观经济模型和越来越多的委托投资模型文献提供信息。（凝胶e13， f41, g11, g12, g15）
Home bias is a perennial feature of international capital markets. We review various explanations of this puzzling phenomenon highlighting recent developments in macroeconomic modeling that incorporate international portfolio choices in standard two-country general equilibrium models. We refer to this new literature as Open Economy Financial Macroeconomics. We focus on three broad classes of explanations: (i) hedging motives in frictionless financial markets (real exchange rate and nontradable income risk), (ii) asset trade costs in international financial markets (such as transaction costs or differences in tax treatments between national and foreign assets), and (iii) informational frictions and behavioral biases. Recent theories call for new portfolio facts beyond equity home bias. We present new evidence on cross-border asset holdings across different types of assets: equities, bonds and bank lending and new micro data on institutional holdings of equity at the fund level. These data should inform macroeconomic modeling of the open economy and a growing literature of models of delegated investment. (JEL E13, F41, G11, G12, G15)