Home Bias and the Structure of International and Regional Business Cycles

University of Dortmund Economics Discussion Paper

35 Pages Posted: 1 Sep 2003

See all articles by Mathias Hoffmann

Mathias Hoffmann

University of Zurich - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: May 2003

Abstract

We estimate Shiller portfolio weights for OECD countries and US states. We find that the income of US federal states is derived to about 50 percent from own output, that of OECD countries to about 60 percent.This suggests that US states display considerable 'home bias at home' and that the international portfolio home bias may be relatively less severe than evidence based on models of optimal portfolio allocation would suggest. We relate the estimated portfolio weights to the structure of regional and international business cycles. In particular, we can reproduce the empirical evidence on inter-state and international income flows.

Keywords: Consumption Risk Sharing, International and regional business cycles, Capital flows, Home Bias, Non-stationary panel data

JEL Classification: C23, E21, F36

Suggested Citation

Hoffmann, Mathias, Home Bias and the Structure of International and Regional Business Cycles (May 2003). University of Dortmund Economics Discussion Paper, Available at SSRN: https://ssrn.com/abstract=421501 or http://dx.doi.org/10.2139/ssrn.421501

Mathias Hoffmann (Contact Author)

University of Zurich - Department of Economics ( email )

Zuerich, 8006
Switzerland

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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