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題名 非貿易財、交易成本與本國偏向資產持有之關係研究
Non-traded Goods, Transaction Costs, and Equity Home Bias Puzzle
作者 葉志揚
Yeh, Chih-Yang
貢獻者 林柏生
葉志揚
Yeh, Chih-Yang
關鍵詞 非貿易財
交易成本
本國偏向
國際總經
non-traded goods
transaction costs
equity home bias puzzle
Intranational macroeconomics
日期 2001
上傳時間 18-Apr-2016 16:24:42 (UTC+8)
摘要 The fact that people prefer to hold domestic equities than foreign ones is still a puzzle for most economists. Although many factors are seemed to be reasonable explanations, two factors, non-traded goods and transaction costs, are usually regarded as the main ones to explain the puzzle. In spite of their importance, the question of which factor has better ability of explaining the puzzle has been the central issue among economists for a long period. In this paper, we will not only try to clarify the issue by examining the role of each factor playing in the puzzle, but also attempt to find out the reasons of disagreements among economists. A modern intranational macroeconomics approach will also be adopted to verify the discussion in this paper. Without surprise, it seems that a model with transaction costs has better ability to explain the puzzle since it`s more general in classifying the tradability of goods.
參考文獻 [01] Backus, D., P. Kehoe, and F. Kydland. (1992). International real business cycles. Journal of Political Economy 100 (August): 745-775.
     [02] Backus, D., and G. Smith. (1993). Consumption and real exchange rates in dynamic economies with non-traded goods. Journal of International Economics 35 (November): 297-316.
     [03] Baxter, M., and U. Jermann. (1995). The international diversification puzzle is worse than you think. NBER Working Paper (February): No. 5019.
     [04] Baxter, M., U. Jermann, and R. King. (1998). Nontraded goods, nontraded factors and international non-diversification. Journal of International Economics 23 (May): 377-400.
     [05] Cole, H., and M. Obstfeld. (1991). Commodity trade and international risk sharing: How much do financial markets matter? Journal of Monetary Economics 28 (August): 3-24.
     [06] Cooper. I., and E. Kaplanis. (1994). Home bias in equity portfolios, inflation hedging, and international capital market equilibrium. Review of Financial Studies 7: 45-60.
     [07] Coval, J. D., and T. J. Moskowitz. (1997). Home bias at home: Local equity preference in domestic portfolio. Working Paper. UCLA.
     [08] Driscoll, K., J. Malcolm, M. Sirull, and P. Slotter. (1995). 1995 Gallup survey of defined contribution plan participants. Paper issued by John Hancock Financial Service.
     [09] Engle, C. (2000). Comments on Obstfeld and Rogoff’s “The six major puzzles in the international macroeconomics: Is there a common cause?” NBER Working Paper 7818.
     [10] Feldstein, M., and C. Horioka. (1980). Domestic savings and international capital flows. Economic Journal 90 (June): 314-29.
     [11] Gehrig, T. (1993). An information based explanation of the domestic bias in international equity investment. Scandinavian Journal of Economics 95: 97-109.
     [12] Heaton, J., and D. Lucas. (1995). The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices. Carnegie-Rochester Conf. Ser. Public Policy 42: 1-32.
     [13] Heaton, J., and D. Luca. (1996). Evaluating the effects of incomplete markets on risk sharing and asset pricing. Journal of Political Economy 104: 443-87.
     [14] Hess G. D., and van Wincoop E. (2000). Intranational macroeconomics. Cambridge University Press.
     [15] Huberman, G. (1997). Familiarity breeds investment. Working Paper. Columbia University.
     [16] Huberman, G. (2000). Home bias in equity markets: International and intranational evidence. Hess G. D., and van Wincoop E. (2000). Intranational Macroeconomics, Cambridge: Chapter 4.
     [17] Lewis, K. (1999). Trying to explain the home bias in equities and consumption. Journal of Economic Literature 37 (June): 571-608
     [18] Martin P., and H. Rey. (2000). Financial integration and asset returns. European Economic Review 44: 1327-1350.
     [19] Obstfeld, M., and K. Rogoff. (1996). Foundations of International Macroeconomics. Cambridge, MA: MIT Press.
     [20] Obstfeld, M., and K. Rogoff. (2000). The six major puzzles in international macroeconomics: Is there a common cause? NBER Macroeconomics Annual 2000.
     [21] Obstfeld, M., and K. Rogoff. (2001). Perspectives on OECD Economic Integration: Implications for US Current Account Adjustment Oncoming paper.
     [22] Patrick F. R. (1999). Transaction costs and international portfolio diversification. Journal of International Economics 49: 145-170.
     [23] Pesenti, P., and van. Wincoop E. (1996). Do nontraded goods explain the home bias puzzle? NBER Working Paper 5784.
     [24] Pesenti, P., and van. Wincoop E. (1999). Can nontradables generate substantial home bias? Federal Reserve Bank of New York (November).
     [25] Tesar, L. L. and I. Werner. (1998). The internationalization of securities markets since the 1987 crash. In Brookings-Wharton papers on Financial Services. R. Litan and A. Santomero (eds.). Washington: The Brookings Institution.
     [26] Stockman, A. C., and H. Dellas. (1989). International portfolio non-diversification and exchange rate variability. Journal of International Economics 26: 271-289.
     [27] Telmer, C. I. (1993). Asset pricing puzzles and incomplete markets. Journal of Finance 48: 1803-1832.
     [28] Tesar L. L. (1993). International risk-sharing and non-traded goods. Journal of International Economics 35: 69-89.
     [29] Tesar L. L. (1995). Home bias and high turnover. Journal of International Money and Finance 14: 467-492.
     [30] Uppal, R. (1992). The economic determinants of the home country bias in investors’ portfolios: A survey. Journal of International Financial Management and Accounting 4: 171-89.
     [31] Warnock F. E. (2001). Home bias and high turnover reconsidered. International Finance Discuss Papers: No. 702.
描述 碩士
國立政治大學
國際經營與貿易學系
88351002
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001523
資料類型 thesis
dc.contributor.advisor 林柏生zh_TW
dc.contributor.author (Authors) 葉志揚zh_TW
dc.contributor.author (Authors) Yeh, Chih-Yangen_US
dc.creator (作者) 葉志揚zh_TW
dc.creator (作者) Yeh, Chih-Yangen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:24:42 (UTC+8)-
dc.date.available 18-Apr-2016 16:24:42 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:24:42 (UTC+8)-
dc.identifier (Other Identifiers) A2002001523en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85310-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 88351002zh_TW
dc.description.abstract (摘要) The fact that people prefer to hold domestic equities than foreign ones is still a puzzle for most economists. Although many factors are seemed to be reasonable explanations, two factors, non-traded goods and transaction costs, are usually regarded as the main ones to explain the puzzle. In spite of their importance, the question of which factor has better ability of explaining the puzzle has been the central issue among economists for a long period. In this paper, we will not only try to clarify the issue by examining the role of each factor playing in the puzzle, but also attempt to find out the reasons of disagreements among economists. A modern intranational macroeconomics approach will also be adopted to verify the discussion in this paper. Without surprise, it seems that a model with transaction costs has better ability to explain the puzzle since it`s more general in classifying the tradability of goods.en_US
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     1. Introduction
     2. Standard Model of Complete Risk Sharing
     3. Risk Sharing with Non-traded Goods
     3.1 The Role of Non-traded Goods
     3.2 Empirics
     4. Risk Sharing with Transaction Costs
     4.1 The Role of Transaction Costs
     4.2 Simulations
     5. Globalization: Intranational Macroeconomics Approach
     6. Conclusion
     Appendix
     Appendix A: Correlations between the Puzzles
     Appendix B: How Large is the Equity Home Bias in Developing Countries? Take Taiwan for Example
     References
     Table		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001523en_US
dc.subject (關鍵詞) 非貿易財zh_TW
dc.subject (關鍵詞) 交易成本zh_TW
dc.subject (關鍵詞) 本國偏向zh_TW
dc.subject (關鍵詞) 國際總經zh_TW
dc.subject (關鍵詞) non-traded goodsen_US
dc.subject (關鍵詞) transaction costsen_US
dc.subject (關鍵詞) equity home bias puzzleen_US
dc.subject (關鍵詞) Intranational macroeconomicsen_US
dc.title (題名) 非貿易財、交易成本與本國偏向資產持有之關係研究zh_TW
dc.title (題名) Non-traded Goods, Transaction Costs, and Equity Home Bias Puzzleen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [01] Backus, D., P. Kehoe, and F. Kydland. (1992). International real business cycles. Journal of Political Economy 100 (August): 745-775.
     [02] Backus, D., and G. Smith. (1993). Consumption and real exchange rates in dynamic economies with non-traded goods. Journal of International Economics 35 (November): 297-316.
     [03] Baxter, M., and U. Jermann. (1995). The international diversification puzzle is worse than you think. NBER Working Paper (February): No. 5019.
     [04] Baxter, M., U. Jermann, and R. King. (1998). Nontraded goods, nontraded factors and international non-diversification. Journal of International Economics 23 (May): 377-400.
     [05] Cole, H., and M. Obstfeld. (1991). Commodity trade and international risk sharing: How much do financial markets matter? Journal of Monetary Economics 28 (August): 3-24.
     [06] Cooper. I., and E. Kaplanis. (1994). Home bias in equity portfolios, inflation hedging, and international capital market equilibrium. Review of Financial Studies 7: 45-60.
     [07] Coval, J. D., and T. J. Moskowitz. (1997). Home bias at home: Local equity preference in domestic portfolio. Working Paper. UCLA.
     [08] Driscoll, K., J. Malcolm, M. Sirull, and P. Slotter. (1995). 1995 Gallup survey of defined contribution plan participants. Paper issued by John Hancock Financial Service.
     [09] Engle, C. (2000). Comments on Obstfeld and Rogoff’s “The six major puzzles in the international macroeconomics: Is there a common cause?” NBER Working Paper 7818.
     [10] Feldstein, M., and C. Horioka. (1980). Domestic savings and international capital flows. Economic Journal 90 (June): 314-29.
     [11] Gehrig, T. (1993). An information based explanation of the domestic bias in international equity investment. Scandinavian Journal of Economics 95: 97-109.
     [12] Heaton, J., and D. Lucas. (1995). The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices. Carnegie-Rochester Conf. Ser. Public Policy 42: 1-32.
     [13] Heaton, J., and D. Luca. (1996). Evaluating the effects of incomplete markets on risk sharing and asset pricing. Journal of Political Economy 104: 443-87.
     [14] Hess G. D., and van Wincoop E. (2000). Intranational macroeconomics. Cambridge University Press.
     [15] Huberman, G. (1997). Familiarity breeds investment. Working Paper. Columbia University.
     [16] Huberman, G. (2000). Home bias in equity markets: International and intranational evidence. Hess G. D., and van Wincoop E. (2000). Intranational Macroeconomics, Cambridge: Chapter 4.
     [17] Lewis, K. (1999). Trying to explain the home bias in equities and consumption. Journal of Economic Literature 37 (June): 571-608
     [18] Martin P., and H. Rey. (2000). Financial integration and asset returns. European Economic Review 44: 1327-1350.
     [19] Obstfeld, M., and K. Rogoff. (1996). Foundations of International Macroeconomics. Cambridge, MA: MIT Press.
     [20] Obstfeld, M., and K. Rogoff. (2000). The six major puzzles in international macroeconomics: Is there a common cause? NBER Macroeconomics Annual 2000.
     [21] Obstfeld, M., and K. Rogoff. (2001). Perspectives on OECD Economic Integration: Implications for US Current Account Adjustment Oncoming paper.
     [22] Patrick F. R. (1999). Transaction costs and international portfolio diversification. Journal of International Economics 49: 145-170.
     [23] Pesenti, P., and van. Wincoop E. (1996). Do nontraded goods explain the home bias puzzle? NBER Working Paper 5784.
     [24] Pesenti, P., and van. Wincoop E. (1999). Can nontradables generate substantial home bias? Federal Reserve Bank of New York (November).
     [25] Tesar, L. L. and I. Werner. (1998). The internationalization of securities markets since the 1987 crash. In Brookings-Wharton papers on Financial Services. R. Litan and A. Santomero (eds.). Washington: The Brookings Institution.
     [26] Stockman, A. C., and H. Dellas. (1989). International portfolio non-diversification and exchange rate variability. Journal of International Economics 26: 271-289.
     [27] Telmer, C. I. (1993). Asset pricing puzzles and incomplete markets. Journal of Finance 48: 1803-1832.
     [28] Tesar L. L. (1993). International risk-sharing and non-traded goods. Journal of International Economics 35: 69-89.
     [29] Tesar L. L. (1995). Home bias and high turnover. Journal of International Money and Finance 14: 467-492.
     [30] Uppal, R. (1992). The economic determinants of the home country bias in investors’ portfolios: A survey. Journal of International Financial Management and Accounting 4: 171-89.
     [31] Warnock F. E. (2001). Home bias and high turnover reconsidered. International Finance Discuss Papers: No. 702.		zh_TW