06204oam 22016454 450 991081753530332120240402044647.01-4623-0432-X97866128423441-4519-8828-11-4518-7159-71-282-84234-X(CKB)3170000000055180(SSID)ssj0000939899(PQKBManifestationID)11479987(PQKBTitleCode)TC0000939899(PQKBWorkID)10937983(PQKB)10745519(OCoLC)466407342(MiAaPQ)EBC1605877(IMF)WPIEE2009012(EXLCZ)99317000000005518020020129d2009 uf 0engurcn|||||||||txtccrThe International Diversification Puzzle when Goods Prices Are Sticky : It's Really About Exchange-Rate Hedging, not Equity Portfolios /Akito Matsumoto, Charles Engel1st ed.Washington, D.C. :International Monetary Fund,2009.47 pIMF Working PapersBibliographic Level Mode of Issuance: Monograph1-4519-1595-0 Includes bibliographical references.Intro -- Contents -- I. Introduction -- II. A General Result in a Static Framework -- III. A Simple Equilibrium Static Model -- A. Households -- B. Firms -- C. Solution of the Static Model -- IV. Dynamic Model -- A. Household Problem -- B. Firms -- C. Solution of the Dynamic Model -- D. Calibrated Portfolios -- V. Conclusion -- Table -- 1. Optimal Portfolio Shares of Foreign Equities -- Appendix -- References.This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal state-contingent claims in our linearized model. When there is a high degree of price stickiness, we show that not much equity diversification is required to replicate the complete-markets equilibrium when agents are able to hedge foreign exchange risk sufficiently. Moreover, temporarily sticky nominal goods prices can have large effects on equity portfolios even when dividend processes are very persistent.IMF Working Papers; Working Paper ;No. 2009/012Hedging (Finance)Foreign exchange ratesBanks and BankingimfInvestments: StocksimfMacroeconomicsimfMoney and Monetary PolicyimfInternational Finance: GeneralimfForeign ExchangeimfOpen Economy MacroeconomicsimfPortfolio ChoiceimfInvestment DecisionsimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfPrice LevelimfInflationimfDeflationimfMonetary SystemsimfStandardsimfRegimesimfGovernment and the Monetary SystemimfPayment SystemsimfMacroeconomics: ConsumptionimfSavingimfWealthimfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfInvestment & securitiesimfMonetary economicsimfFinancial services law & regulationimfStocksimfSticky pricesimfCurrenciesimfConsumptionimfHedgingimfFinancial institutionsimfPricesimfMoneyimfFinancial regulation and supervisionimfNational accountsimfEconomicsimfFinancial risk managementimfUnited StatesimfHedging (Finance)Foreign exchange rates.Banks and BankingInvestments: StocksMacroeconomicsMoney and Monetary PolicyInternational Finance: GeneralForeign ExchangeOpen Economy MacroeconomicsPortfolio ChoiceInvestment DecisionsPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsPrice LevelInflationDeflationMonetary SystemsStandardsRegimesGovernment and the Monetary SystemPayment SystemsMacroeconomics: ConsumptionSavingWealthFinancing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillInvestment & securitiesMonetary economicsFinancial services law & regulationStocksSticky pricesCurrenciesConsumptionHedgingFinancial institutionsPricesMoneyFinancial regulation and supervisionNational accountsEconomicsFinancial risk management332.152Matsumoto Akito1614873Engel Charles125885DcWaIMFBOOK9910817535303321The International Diversification Puzzle when Goods Prices Are Sticky4016292UNINA