【主讲】Ina Simonovska 助教授 (加利佛尼亚大学戴维斯分校经济学院)
【主题】Asset Liquidity and Home Bias
【时间】2011年5月13日 (周五) 15：30-17：00
【地点】上海财经大学经济学院楼801室
【语言】英文
【摘要】We study optimal asset portfolio choices in a two-country model of costly international trade. We allow assets to not only represent claims on future consumption, but to also serve as media of exchange. In the model, trading in a certain country involves the exchange of locally produced goods for a portfolio of assets. Assuming foreign assets trade at a cost, we characterize equilibria in which different countries’ assets arise as media of exchange in different types of trades. More frequent trading opportunities at home result in agents holding proportionately more domestic over foreign assets. As international trade becomes more integrated, agents demand higher amounts of foreign assets. Moreover, foreign assets turn over faster than home assets because the former have desirable liquidity properties, but unfavorable returns over time. Our mechanism offers an answer to a long-standing puzzle in international finance: a positive relationship between consumption and asset home bias, coupled with higher turnover rates of foreign over domestic assets.
【个人简历】http://www.econ.ucdavis.edu/faculty/sina/simonovska_cv.pdf
