My da|ra Login

Detailed view

metadata language: English

Replication data for: Hedging against the Government: A Solution to the Home Asset Bias Puzzle

Version
1
Resource Type
Dataset
Creator
  • Berriel, Tiago C.
  • Bhattarai, Saroj
Publication Date
2013-01-01
Description
  • Abstract

    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)
Availability
Download
Relations
  • Is supplement to
    DOI: 10.1257/mac.5.1.102 (Text)
Publications
  • Berriel, Tiago C, and Saroj Bhattarai. “Hedging Against the Government: A Solution to the Home Asset Bias Puzzle.” American Economic Journal: Macroeconomics 5, no. 1 (January 2013): 102–34. https://doi.org/10.1257/mac.5.1.102.
    • ID: 10.1257/mac.5.1.102 (DOI)

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

Berriel, Tiago C.; Bhattarai, Saroj (2013): Replication data for: Hedging against the Government: A Solution to the Home Asset Bias Puzzle. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114259V1