TASTE SHOCKS, ENDOGENOUS LABOR SUPPLY, AND EQUITY HOME BIAS

doi:10.1017/S1365100512001046

CORC > 上海财经大学 > 上海财经大学

	TASTE SHOCKS, ENDOGENOUS LABOR SUPPLY, AND EQUITY HOME BIAS
	Feng, Ling
刊名	MACROECONOMIC DYNAMICS
	2014-10
卷号	18 期号:7 页码:1466-1487
关键词	Equity Home Bias Taste Shocks Endogenous Labor Supply
ISSN号	1365-1005
DOI	10.1017/S1365100512001046
英文摘要	The puzzling bias of equity portfolios toward domestic assets (equity home bias) remains substantial. This paper proposes a dynamic stochastic general equilibrium model and demonstrates that shocks to consumption tastes (taste shocks) are an effective explanation for the equity home bias puzzle. In the model, home assets provide insurance for home agents to hedge against domestic taste fluctuations, whereas such insurance cannot be offered by foreign assets. The empirical evidence shows that, in explaining equity home bias, hedging against consumption taste risks is more relevant than hedging against labor income risks or real exchange rate risks.
WOS研究方向	Business & Economics
语种	英语
出版者	CAMBRIDGE UNIV PRESS
WOS记录号	WOS:000343762900002
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1681]
专题	上海财经大学
通讯作者	Feng, Ling
作者单位	Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Feng, Ling. TASTE SHOCKS, ENDOGENOUS LABOR SUPPLY, AND EQUITY HOME BIAS[J]. MACROECONOMIC DYNAMICS,2014,18(7):1466-1487.
APA	Feng, Ling.(2014).TASTE SHOCKS, ENDOGENOUS LABOR SUPPLY, AND EQUITY HOME BIAS.MACROECONOMIC DYNAMICS,18(7),1466-1487.
MLA	Feng, Ling."TASTE SHOCKS, ENDOGENOUS LABOR SUPPLY, AND EQUITY HOME BIAS".MACROECONOMIC DYNAMICS 18.7(2014):1466-1487.