Trois essais en macroéconomie internationale : le phénomène de préférence pour les titres nationaux et l'énigme de la quantité revisités

摘要

The first chapter studies the implications for international portfolio diversification of a simple overlapping generations model of the world economy with transaction costs. Our main result shows that the introduction of very small transaction costs are sufficient to reproduce the large home bias observed in the composition of portfolios. The second chapter investigates the relation between the home bias in equity holdings, financial analysts' forecasts and earnings opacity. Using high quality cross-border holdings data and introducing an estimator based on sample moments of order higher than two to reduce the bias induced by measurement errors, we confirm, improve and extend previous results obtained recently by Ahearne et al. (2004). First, we show that financial analysts' forecast accuracy may contribute to the explanation of the lack of diversification observed in U.S. portfolios. Second, we shed light on the relationship between earnings opacity measures and the home bias in equity holdings. In the third chapter we revisit the quantity anomaly using an international business cycles model with delegated management. In each country shareholders hire a self-interested manager who is in charge of the firm's hiring and investment decisions. We show that managers make intertemporal decisions, and especially investment decisions, in their own interest. This has great consequences on the quantity puzzle. The model can succeed in replicating the main observed features of international comovements.