foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by … share of the equity home bias and obtain a currency exposure of bond portfolios comparable to the data …

foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by … share of the equity home bias and obtain a currency exposure of bond portfolios comparable to the data …

disturbances - an increase in risk, and a slowing of productivity growth - each of which might rationalize a simultaneous drop in … increase in risk depresses the return on riskless bonds. When all of the wealth of the economy is traded in the stock market …, equity values fall with increasing equity risk only if the intertemporal elasticity of substitution in consumption exceeds …

foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by … share of the equity home bias and obtain a currency exposure of bond portfolios comparable to the data …