The international diversification puzzle is not worse than you think

Christian Julliard ()

International Finance from EconWPA

Abstract: This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification rejected by the data. Second, it outlines how, once the misspecification is corrected, the results are reverted: considering the human capital risk does not unequivocally worsen the puzzle and in some cases helps explaining it. JEL Classification: F30, G11, G12

Keywords: International diversification; human capital (search for similar items in EconPapers)
JEL-codes: F30 G11 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2003-01-09
Note: Type of Document - Acrobat PDF; prepared on IBM PC ; pages: 36; figures: included
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:0301004

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