The role of nonseparable utility and nontradeables in international business cycles and portfolio choice /

The role of nonseparable utility and nontradeables in international business cycles and portfolio choice /

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Bibliographic Details
Author / Creator:	Matsumoto, Akito, author.
Imprint:	[Washington, D.C.?] : International Monetary Fund, ©2007.
Description:	1 online resource (32 pages) : illustrations
Language:	English
Series:	IMF working paper ; WP/07/163.
Subject:	Business cycles -- Econometric models. Portfolio management -- Econometric models. Business cycles -- Econometric models. Portfolio management -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12497886

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Other authors / contributors:	International Monetary Fund. Research Department.
ISBN:	1282447963 9781282447967 1451911807 9781451911800 1462331610 9781462331611 1452711771 9781452711775 9786613821164 6613821160 9781451867275 1451867271
Notes:	Includes bibliographical references (pages 30-32). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 English. digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	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.
Other form:	Print version: Matsumoto, Akito. Role of nonseparable utility and nontradeables in international business cycles and portfolio choice. [Washington, D.C.?] : International Monetary Fund, ©2007
Standard no.:	10.5089/9781451911800.001

Description
Summary:	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.
Physical Description:	1 online resource (32 pages) : illustrations
Format:	Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:	Includes bibliographical references (pages 30-32).
ISBN:	1282447963 9781282447967 1451911807 9781451911800 1462331610 9781462331611 1452711771 9781452711775 9786613821164 6613821160 9781451867275 1451867271