The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice

by

Subject categories
ISBNs
  • 1451911807
  • 9781451867275
  • 9781451911800
  • 9781452711775
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.
  • International Monetary Fund; July 2007
  • ISBN 9781451911800
  • Read online, or download in secure PDF or secure EPUB format
  • Title: The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice
  • Author: Akito Matsumoto
  • Imprint: INTERNATIONAL MONETARY FUND
Subject categories
ISBNs
  • 1451911807
  • 9781451867275
  • 9781451911800
  • 9781452711775
Subject categories
ISBNs
  • 1451911807
  • 9781451867275
  • 9781451911800
  • 9781452711775