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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 Determinants of International Portfolio Holdings and Home Bias

The Determinants of International Portfolio Holdings and Home Bias »

Source: The Determinants of International Portfolio Holdings and Home Bias

Volume/Issue: 2004/34

Series: IMF Working Papers

Author(s): Shujing Li , Hamid Faruqee , and Isabel Yan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451845297

Keywords: International portfolio choice, Home bias, Transaction cost, Information cost, equation, correlation, market size, survey, statistics,

Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity...

Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets

Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets »

Source: Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets

Volume/Issue: 2015/198

Series: IMF Working Papers

Author(s): Deniz Igan , and Marcelo Pinheiro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 September 2015

ISBN: 9781513586878

Keywords: Delegated portfolio management, Informativeness, Contagion, Home bias, market, markets, prices, price, value, Portfolio Choice,

We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark-a common solution to the agency problem in delegated portfolio management. I...

International Diversification Gains and Home Bias in Banking

International Diversification Gains and Home Bias in Banking »

Source: International Diversification Gains and Home Bias in Banking

Volume/Issue: 2007/281

Series: IMF Working Papers

Author(s): Alicia García-Herrero , and Francisco Vazquez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868449

Keywords: home bias, portfolio diversification, Basel II, international banks, subsidiaries, financial statements, money market,

This paper assembles a bank-level dataset covering the operations of 38 international banks from eight industrial countries and their subsidiaries overseas during 1995-2004, and studies the extent of diversificatio...

Portfolio Choice in a Monetary Open-Economy DSGE Model

Portfolio Choice in a Monetary Open-Economy DSGE Model »

Source: Portfolio Choice in a Monetary Open-Economy DSGE Model

Volume/Issue: 2005/165

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

ISBN: 9781451861846

Keywords: Home bias, international portfolio choice, equation, equations, correlation, foreign equity, covariance, Open Economy Macroeconomics,

This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some g...

Financing of Global Imbalances

Financing of Global Imbalances »

Source: Financing of Global Imbalances

Volume/Issue: 2007/177

Series: IMF Working Papers

Author(s): Maria Teresa Punzi , and W. Christopher Walker

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867411

Keywords: home bias, panel VAR, U.S. bond inflows, bond, bond flows, equation, correlation, statistics, Us Bond Inflows,

This paper analyzes the determinants of bond flows, now the dominant source of capital inflows, into the United States, as a means of establishing conditions affecting the financing of the U.S. current account defi...

Is Banks’ Home Bias Good or Bad for Public Debt Sustainability?

Is Banks’ Home Bias Good or Bad for Public Debt Sustainability? »

Source: Is Banks' Home Bias Good or Bad for Public Debt Sustainability?

Volume/Issue: 2015/44

Series: IMF Working Papers

Author(s): Tamon Asonuma , Said Bakhache , and Heiko Hesse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2015

ISBN: 9781498323505

Keywords: Home Bias, Government Bond Yields, Primary Balance, Sovereign-bank Nexus, debt, public debt, bond, sovereign debt, market, Deficit,

Motivated by the recent increase in domestic banks' holdings of domestic sovereign debt (i.e., home bias) in the European periphery, this paper analyzes implications of banks' home bias for the sovereign's debt sus...

Why are Countries' Asset Portfolios Exposed to Nominal Exchange Rates?

Why are Countries' Asset Portfolios Exposed to Nominal Exchange Rates? »

Source: Why are Countries' Asset Portfolios Exposed to Nominal Exchange Rates?

Volume/Issue: 2017/291

Series: IMF Working Papers

Author(s): Jonathan Adams , and Philip Barrett

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 December 2017

ISBN: 9781484335468

Keywords: Country portfolios, international business cycles, home bias, gross asset positions, exchange rates, Backus-Smith puzzle, General, Open Economy Macroeconomics

Most countries hold large gross asset positions, lending in domestic currency and borrowing in foreign. Thus, their balance sheets are exposed to nominal exchange rates. We argue that when asset markets are incompl...

U.S. Investors' Emerging Market Equity Portfolios

U.S. Investors' Emerging Market Equity Portfolios »

Source: U.S. Investors' Emerging Market Equity Portfolios : A Security-Level Analysis

Volume/Issue: 2003/238

Series: IMF Working Papers

Author(s): Francis Warnock , and Hali Edison

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875768

Keywords: portfolio choice, home bias, international risk sharing, investors, cost of capital, foreign ownership, foreign securities, institutional investors, and international risk sharing,

We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We...

Determinants of Financial Market Spillovers

Determinants of Financial Market Spillovers »

Source: Determinants of Financial Market Spillovers : The Role of Portfolio Diversification, Trade, Home Bias, and Concentration

Volume/Issue: 2014/187

Series: IMF Working Papers

Author(s): Yoko Shinagawa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 October 2014

ISBN: 9781498365628

Keywords: Financial Spillover, Coordinated Portfolio Investment Survey (CPIS), Home Bias, portfolio investment, financial market, bond, bond markets, International Policy Coordination and Transmission, Portfolio Choice,

This paper defines financial market spillovers as the comovement between two countries' financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio...