文章基本信息

标题：Portfolio Allocation and International Risk Sharing
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作者：Gianluca Benigno ; Hande Küçük-Tuger
期刊名称：CEP Discussion Paper
出版年度：2011
卷号：2011
期号：01
出版社：Centre for Economic Performance
摘要：Recent contributions have shown that it is possible to account for the so-called consumption-real exchange anomaly in models with goods market frictions where international asset trade is limited to a riskless bond. In this paper, we consider a more realistic international asset market structure and show that as soon as we depart from the single bond economy, we can no longer account for the consumption-real exchange anomaly. Our central result holds for a simple asset market structure in which two nominal bonds are traded across countries. We explore the role of demand shocks such as news shocks in generating meaningful market incompleteness. We show that only under specific settings news shocks can improve the performance of the model in matching the portfolio positions and consumption-real exchange rate correlations that we observe in the data.