Replication data for: Hedging against the Government: A Solution to the Home Asset Bias Puzzle
Principal Investigator(s): View help for Principal Investigator(s) Tiago C. Berriel; Saroj Bhattarai
Version: View help for Version V1
Name | File Type | Size | Last Modified |
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Replication | 10/12/2019 09:38:PM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/12/2019 05:39:PM |
Project Citation:
Berriel, Tiago C., and Bhattarai, Saroj. Replication data for: Hedging against the Government: A Solution to the Home Asset Bias Puzzle. Nashville, TN: American Economic Association [publisher], 2013. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114259V1
Project Description
Summary:
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We explain why international nominal bonds and equity portfolios
are biased domestically. In our model, holding domestic government
nominal debt provides a hedge against shocks to bond returns and
the impact on taxes they induce. For this result, only two features are
essential: nominal risk and taxes only on domestic agents. A third
feature explains domestically biased equity holdings: government
spending falls on domestic goods. Then, an increase in government
spending raises the returns on domestic equity, providing a hedge
against the subsequent increase in taxes. A calibrated version of the
model predicts asset holdings that quantitatively match the data.
(JEL F30, G11, G15, H61, H63)
Scope of Project
JEL Classification:
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F30 International Finance: General
G11 Portfolio Choice; Investment Decisions
G15 International Financial Markets
H61 National Budget; Budget Systems
H63 National Debt; Debt Management; Sovereign Debt
F30 International Finance: General
G11 Portfolio Choice; Investment Decisions
G15 International Financial Markets
H61 National Budget; Budget Systems
H63 National Debt; Debt Management; Sovereign Debt
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