A Multi-Country Real Business Cycle Model with Heterogeneous Agents
构建了一个多国真实商业周期模型，捕捉家庭调查数据中只有少数人持股且大量非持股者受借贷约束的异质性，应用于20个OECD国家数据，解释了跨国消费相关性、股票持有者消费波动更大等现象，并指出国际分散化福利收益与本土偏好之谜。
A multicountry real business cycle model is developed capturing two important aspects of heterogeneity found in household survey data: only a small fraction of the population holds stock and a significant fraction of nonstockholders are borrowing constrained. The model is applied to data for twenty OECD countries. It generates cross-country consumption correlations consistent with those observed in the data. Potential welfare gains from international portfolio diversification by stockholders are large, leaving the observed 'home bias' as a significant puzzle. The model can also account for the finding in U.S. data that consumption of stockholders is more volatile than that of nonstockholders. Copyright 1996 by The editors of the Scandinavian Journal of Economics.