International capital markets with interdependent preferences: Theory and empirical evidence
构建了一个两国模型，其中偏好随贸易品流行度内生变化，解释了时变预期收益和波动率、本土偏好以及消费增长跨国相关性降低等现象，并通过脉冲响应函数验证了理论。
We propose a two-country model in which preferences change endogenously as a function of the popularity of traded goods . In equilibrium, expected returns and return volatility vary over time, agents prefer popular goods, and their portfolios are biased toward the country that produces the preferred goods. A home bias arises because home equity offers a better investment opportunity for hedging against changes in preference. The dependence of state prices on time-varying popularity reduces the cross-country correlation of consumption growth. These results do not hold when the preferences are constant. The comparison between empirical impulse response functions and those implied by the model supports our theory.