文章基本信息

标题：Relative Factor Endowments and International Portfolio Choice
本地全文：下载
作者：Alejandro Cuñat ; Christian Fons-Rosen
期刊名称：CEP Discussion Paper
出版年度：2008
卷号：2008
期号：jul
出版社：Centre for Economic Performance
摘要：This paper presents a model of international portfolio choice based on cross-country differences in relative factor abundance. Countries have varying degrees of similarity in their factor endowment ratios, and are subject to aggregate productivity shocks. Risk averse consumers can insure against these shocks by investing their wealth at home and abroad. In a many-good setup, the change in relative prices after a positive shock in a particular country provides insurance to countries that have dissimilar factor endowment ratios, but is bad news for countries with similar factor endowment ratios, since their incomes will worsen. Therefore countries with similar relative factor endowments have a stronger incentive to invest in one another for insurance purposes than countries with dissimilar endowments. Empirical evidence linking bilateral international investment positions to a proxy for relative factor endowments supports our theory: the similarity of host and source countries in their relative capital-labor ratios has a positive effect on the source country’s investment position in the host country. The effect of similarity is enhanced by the size of host countries as predicted by the theory.
关键词：international portfolio equity investment, gravity equation, factor endowments