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Home Bias and the Structure of International and Regional Business Cycles

Author

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  • Michael ARTIS
  • Mathias HOFFMANN

Abstract

We estimate Shiller portfolio weights for OECD countries and US states. We find that the income of US federal states is derived to about 50 percent from own output, that of OECD countries to about 60 percent.This suggests that US states display considerable ’home bias at home’ and that the international portfolio home bias may be relatively less severe than evidence based on models of optimal portfolio allocation would suggest. We relate the estimated portfolio weights to the structure of regional and international business cycles. In particular, we can reproduce the empirical evidence on inter-state and international income flows.

Suggested Citation

  • Michael ARTIS & Mathias HOFFMANN, 2003. "Home Bias and the Structure of International and Regional Business Cycles," Economics Working Papers ECO2003/15, European University Institute.
    • Handle: RePEc:eui:euiwps:eco2003/15
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    Cited by:

    1. Vincent Labhard & Michael Sawicki, 2006. "International and intranational consumption risk sharing: the evidence for the United Kingdom and OECD," Bank of England working papers 302, Bank of England.

    More about this item

    Keywords

    Consumption Risk Sharing; International and regional business cycles; Capital flows; Home Bias; Non-stationary panel data;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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