We analyze the inflation-hedging properties of US stocks, bonds, and T-bills at the subindex level during the 1983 – 2012 period, for investment horizons between 1 month and 10 years. Bonds other than T-bills turn out poor inflation hedges during the entire sample period, regardless of the...

Bitcoin is a major virtual currency. Using weekly data over the 2010-2013 period, we analyze a Bitcoin investment from the standpoint of a U.S. investor with a diversified portfolio including both traditional assets (worldwide stocks, bonds, hard currencies) and alternative investments...

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

This paper proposes a combination of bifurcation methods and nonlinear moving average as a tool to solve asymmetric DSGE models with portfolio choice. Its performance is compared to the workhorse routine developed by Devereux and Sutherland (2010, 2011). The proposed technique has two...

I develop a portfolio choice model that allows for partial default and accommodates trade in a rich set of assets. I characterize the solution to an infinite horizon, consumption/portfolio problem with Markov shocks and many assets. The characterization facilitates a simple solution algorithm...

I develop an open economy portfolio model to study how leveraged investors' wholesale funding affects the international transmission of shocks. Under binding borrowing limits, there is a link between the international investment positions of integrated economies as investors diversify the asset...

We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the “home bias” in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even...

We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the "home bias" in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if...

We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the 'home bias' in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if...

Equity home bias is one of the most enduring puzzles in international finance. In this paper, I start out by documenting a novel stylized fact about home bias: countries with weaker domestic institutions hold fewer foreign assets. I then explore a macroeconomic mechanism by which the presence of...