Portfolio choice analysis in a multi-country macro model
本文在一个包含43个国家的动态随机一般均衡模型中研究投资组合选择，通过比较静态分析揭示全球金融配置的机制，发现风险对冲在多国模型中作用减弱，而金融摩擦和资产协方差是双边资产头寸的主要决定因素。
This paper examines portfolio choice in a dynamic stochastic general equilibrium model with trade and financial linkages across 43 countries. I conduct comparative statics analysis with this structural model to disentangle potential mechanisms of global financial allocation, including risk hedging, risk diversification, risk sharing, and financial friction. For asset home bias, the model predicts that risk hedging is less essential in a multi-country than in a two-country setting. For bilateral asset positions, the model implies that variations in financial friction and asset covariance are major determinants of observed cross-country portfolios. Meanwhile, bilateral financial linkages strongly covary with trade linkages across countries. Comparative statics suggests that this covariance is mainly driven by the high correlation of frictions across the two channels of globalization.