“HOME BIAS”: BUNDESBANK DISCUSSION PAPER

January 3, 2011 at 11:32 am | Posted in Economics, Financial, Germany, Globalization, Research, World-system | Leave a comment

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Bundesbank Discussion Paper

Bundesbank Research Centre

Newsletter Forschungszentrum Bundesbank

Deutsche Bundesbank
Forschungszentrum

Research Centre

Wilhelm-Epstein-Strasse 14

60431 Frankfurt am Main

Germany

Mon 1/03/11

Dear customer,

The Bundesbank Research Centre has released a new

Discussion Paper (No 24/2010 Series 1).

Author/s:
Philipp Harms
Mathias Hoffmann
Christina Ortseifer

Title:
The home bias in equities and distribution costs

Abstract:
We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the “home bias” in international equity investment.
Our model is able to replicate observed investment positions for a wide range of parameter values, even if agents have an incentive to hedge labor income risk by purchasing foreign equity.

This is because the existence of a retail sector affects both the correlation of domestic returns with the domestic price level and the correlation between financial and nonfinancial income.

http://vo5555.newsletter.bundesbank.de/servlet/rd?l=Diskussionspapiere-JOKA-PJN1-M7DJ-ONL3-NWSL159

+ 01:

Deutsche Bundesbank
Forschungszentrum
Research Centre
Wilhelm-Epstein-Strasse 14
60431 Frankfurt am Main
Germany

+ 02:

Contact
mailto: presse-information@bundesbank.de

Bundesbank Discussion Paper

Bundesbank Research Centre

Newsletter Forschungszentrum Bundesbank

Deutsche Bundesbank
Forschungszentrum
Research Centre
Wilhelm-Epstein-Strasse 14
60431 Frankfurt am Main
Germany

Mon 1/03/11

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