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01707cas a2200241 a 4500 |
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|c 5.00 USD
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|z 9781451867275
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|a 1018-5941
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|c BD-DhAAL
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|a Matsumoto, Akito.
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|a The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice /
|c Akito Matsumoto.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2007.
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|a 1 online resource (32 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a This paper analyzes the role of nonseparable utility and nontradables in business cycles and portfolio choice. I find that nonseparability in utility can change the portfolio choice significantly. Unlike previous results in literature, the optimal portfolio of the traded-good sector equities is no longer a well diversified portfolio and becomes sensitive to parameter values. As a result, the model often generates extreme home bias or anti-home bias portfolios implying that some frictions in asset markets, which prevent agents from holding these extreme portfolios, can explain the lack of international risk sharing.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2007/163
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2007/163/001.2007.issue-163-en.xml
|z IMF e-Library
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