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Replication data for: International Portfolio Allocation under Model Uncertainty

Version
1
Resource Type
Dataset
Creator
  • Benigno, Pierpaolo
  • Nisticò, Salvatore
Publication Date
2012-01-01
Description
  • Abstract

    This paper revisits an old argument, hedging real exchange rate risk, as an explanation of the international home bias in equity. In a dynamic model, the relevant risk to be hedged is the long-run risk as opposed to the short-run risk. Domestic equity is indeed a good hedge with respect to long-run real-exchange-rate risk. Two new frameworks are able to explain a large share of the observed US home bias: a model with Hansen-Sargent preferences in which agents fear model misspecification and a model with Epstein-Zin preferences. These two models are also immune to the risk-free rate puzzle. (JEL C58, F31, G11, G15)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/mac.4.1.144 (Text)
Publications
  • Benigno, Pierpaolo, and Salvatore Nisticò. “International Portfolio Allocation under Model Uncertainty.” American Economic Journal: Macroeconomics 4, no. 1 (January 2012): 144–89. https://doi.org/10.1257/mac.4.1.144.
    • ID: 10.1257/mac.4.1.144 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-13

Benigno, Pierpaolo; Nisticò, Salvatore (2012): Replication data for: International Portfolio Allocation under Model Uncertainty. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114235V1