The International Diversification Puzzle Is Not as Bad as You Think
在一个两商品国际商业周期模型中嵌入资产组合选择，推导出均衡国家组合的闭式解，发现国内资产能对冲劳动收入风险，从而解释为何组合偏向国内资产，并与发达国家数据一致。
The international diversification puzzle is the fact that country portfolios are on average biased toward domestic assets, while one-good international macro models with nondiversifiable labor income risk predict the opposite pattern of diversification. This paper embeds a portfolio choice decision in a two-good international business cycle model and provides a closed-form solution for equilibrium country portfolios. Equilibrium portfolios are biased toward domestic assets because endogenous international relative price fluctuations make domestic assets a good hedge against labor income risk. Evidence from developed economies in recent years is qualitatively and quantitatively consistent with the mechanisms highlighted by the theory.