Hedging Against the Government: A Solution to the Home Asset Bias Puzzle
解释了为什么国际名义债券和股票组合偏向国内资产，发现持有国内政府名义债券可对冲债券回报冲击及税收影响，而政府支出偏向国内商品则导致国内股票持有偏多。校准模型定量匹配实际数据。
We explain why international nominal bonds and equity portfolios are biased domestically. In our model, holding domestic government nominal debt provides a hedge against shocks to bond returns and the impact on taxes they induce. For this result, only two features are essential: nominal risk and taxes only on domestic agents. A third feature explains domestically biased equity holdings: government spending falls on domestic goods. Then, an increase in government spending raises the returns on domestic equity, providing a hedge against the subsequent increase in taxes. A calibrated version of the model predicts asset holdings that quantitatively match the data.