LEADER 06204oam 22016454 450 001 9910817535303321 005 20240402044647.0 010 $a1-4623-0432-X 010 $a9786612842344 010 $a1-4519-8828-1 010 $a1-4518-7159-7 010 $a1-282-84234-X 035 $a(CKB)3170000000055180 035 $a(SSID)ssj0000939899 035 $a(PQKBManifestationID)11479987 035 $a(PQKBTitleCode)TC0000939899 035 $a(PQKBWorkID)10937983 035 $a(PQKB)10745519 035 $a(OCoLC)466407342 035 $a(MiAaPQ)EBC1605877 035 $a(IMF)WPIEE2009012 035 $a(EXLCZ)993170000000055180 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe International Diversification Puzzle when Goods Prices Are Sticky : $eIt's Really About Exchange-Rate Hedging, not Equity Portfolios /$fAkito Matsumoto, Charles Engel 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a47 p 225 1 $aIMF Working Papers 300 $aBibliographic Level Mode of Issuance: Monograph 311 $a1-4519-1595-0 320 $aIncludes bibliographical references. 327 $aIntro -- 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. 330 3 $aThis paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal state-contingent claims in our linearized model. When there is a high degree of price stickiness, we show that not much equity diversification is required to replicate the complete-markets equilibrium when agents are able to hedge foreign exchange risk sufficiently. Moreover, temporarily sticky nominal goods prices can have large effects on equity portfolios even when dividend processes are very persistent. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/012 606 $aHedging (Finance) 606 $aForeign exchange rates 606 $aBanks and Banking$2imf 606 $aInvestments: Stocks$2imf 606 $aMacroeconomics$2imf 606 $aMoney and Monetary Policy$2imf 606 $aInternational Finance: General$2imf 606 $aForeign Exchange$2imf 606 $aOpen Economy Macroeconomics$2imf 606 $aPortfolio Choice$2imf 606 $aInvestment Decisions$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aPrice Level$2imf 606 $aInflation$2imf 606 $aDeflation$2imf 606 $aMonetary Systems$2imf 606 $aStandards$2imf 606 $aRegimes$2imf 606 $aGovernment and the Monetary System$2imf 606 $aPayment Systems$2imf 606 $aMacroeconomics: Consumption$2imf 606 $aSaving$2imf 606 $aWealth$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aInvestment & securities$2imf 606 $aMonetary economics$2imf 606 $aFinancial services law & regulation$2imf 606 $aStocks$2imf 606 $aSticky prices$2imf 606 $aCurrencies$2imf 606 $aConsumption$2imf 606 $aHedging$2imf 606 $aFinancial institutions$2imf 606 $aPrices$2imf 606 $aMoney$2imf 606 $aFinancial regulation and supervision$2imf 606 $aNational accounts$2imf 606 $aEconomics$2imf 606 $aFinancial risk management$2imf 607 $aUnited States$2imf 615 0$aHedging (Finance) 615 0$aForeign exchange rates. 615 7$aBanks and Banking 615 7$aInvestments: Stocks 615 7$aMacroeconomics 615 7$aMoney and Monetary Policy 615 7$aInternational Finance: General 615 7$aForeign Exchange 615 7$aOpen Economy Macroeconomics 615 7$aPortfolio Choice 615 7$aInvestment Decisions 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aPrice Level 615 7$aInflation 615 7$aDeflation 615 7$aMonetary Systems 615 7$aStandards 615 7$aRegimes 615 7$aGovernment and the Monetary System 615 7$aPayment Systems 615 7$aMacroeconomics: Consumption 615 7$aSaving 615 7$aWealth 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aInvestment & securities 615 7$aMonetary economics 615 7$aFinancial services law & regulation 615 7$aStocks 615 7$aSticky prices 615 7$aCurrencies 615 7$aConsumption 615 7$aHedging 615 7$aFinancial institutions 615 7$aPrices 615 7$aMoney 615 7$aFinancial regulation and supervision 615 7$aNational accounts 615 7$aEconomics 615 7$aFinancial risk management 676 $a332.152 700 $aMatsumoto$b Akito$01614873 701 $aEngel$b Charles$0125885 801 0$bDcWaIMF 906 $aBOOK 912 $a9910817535303321 996 $aThe International Diversification Puzzle when Goods Prices Are Sticky$94016292 997 $aUNINA