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The International Diversification Puzzle when Goods Prices Are Sticky

The International Diversification Puzzle when Goods Prices Are Sticky »

Source: The International Diversification Puzzle when Goods Prices Are Sticky : It's Really About Exchange-Rate Hedging, not Equity Portfolios

Volume/Issue: 2009/12

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

ISBN: 9781451871593

Keywords: international risk sharing, international portfolio allocation, exchange rate hedging, equity home bias, exchange rate, hedge, home currency, nominal exchange rate, Equity Home Bias International Risk Sharing,

This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in...

The International Diversification Puzzle when Goods Prices Are Sticky
			: It's Really About Exchange-Rate Hedging, not Equity Portfolios

The International Diversification Puzzle when Goods Prices Are Sticky : It's Really About Exchange-Rate Hedging, not Equity Portfolios »

Volume/Issue: 2009/12

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

DOI: http://dx.doi.org/10.5089/9781451871593.001

ISBN: 9781451871593

Keywords: international risk sharing, international portfolio allocation, exchange rate hedging, equity home bias, exchange rate, hedge, home currency, nominal exchange rate, Equity Home Bias International Risk Sharing,

This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in...

Asian Financial Integration

Asian Financial Integration »

Source: Asian Financial Integration : Trends and Interruptions

Volume/Issue: 2011/4

Series: IMF Working Papers

Author(s): Eduardo Borensztein , and Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2011

ISBN: 9781455211821

Keywords: equity premium, gravity model, home bias, risk-sharing, herding, investors, bond, foreign investors, bonds, international investors

The paper compares trends in financial integration within Asia with those in industrialized countries and other regional groups. Declines in cross-country dispersion in equity returns and interest rates suggest inc...

Asian Financial Integration
			: Trends and Interruptions

Asian Financial Integration : Trends and Interruptions »

Volume/Issue: 2011/4

Series: IMF Working Papers

Author(s): Eduardo Borensztein , and Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2011

DOI: http://dx.doi.org/10.5089/9781455211821.001

ISBN: 9781455211821

Keywords: equity premium, gravity model, home bias, risk-sharing, herding, investors, bond, foreign investors, bonds, international investors

The paper compares trends in financial integration within Asia with those in industrialized countries and other regional groups. Declines in cross-country dispersion in equity returns and interest rates suggest inc...