| Author: | Jermann, U. J. |
| Title: | International portfolio diversification and endogenous labor supply choice |
| Journal: | European Economic Review
2002 : MAR, VOL. 46:3, p. 507-522 |
| Index terms: | PORTFOLIO MANAGEMENT DIVERSIFICATION LABOUR LABOUR SUPPLY |
| Language: | eng |
| Abstract: | This paper presents a multi-country general equilibrium model driven by productivity shocks, where labor supply and consumption are chosen endogenously. The authors of the article use this framework to study the effect of labor supply for optimal international diversification. The authors find that the model's ability to help explain home-bias depends crucially on the level of substitutability between consumption and non- working time. Quantitatively, the non-separability in the preferences helps in a non-negligible way, but it cannot entirely explain the extreme degree of home-bias in U.S. portfolios. The paper provides a substantial list of references on this subject. |
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