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The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members

The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members »

Source: The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members

Volume/Issue: 2014/74

Series: IMF Working Papers

Author(s): Iuliia Brushko , and Yuko Hashimoto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2014

ISBN: 9781475543759

Keywords: International Portfolio, Portfolio Flows, Portfolio Concentration, stock index, unemployment, unemployment rate, portfolio investment, bond, Portfolio Choice,

This paper examines the international portfolio flows of European Union. Our analysis includes three dimensions: (1) the level of countries portfolio investment concentration (those who invest evenly among counterp...

International Risk Sharing

International Risk Sharing »

Source: International Risk Sharing : Through Equity Diversification or Exchange Rate Hedging?

Volume/Issue: 2009/138

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2009

ISBN: 9781451872859

Keywords: International portfolio choice, international risk sharing, international diversification, exchange rate, hedge, home currency,

Well-known empirical puzzles in international macroeconomics concern the large divergence of equilibrium outcomes for consumption across countries from the predictions of models with full risk sharing. It is common...

When in Peril, Retrench

When in Peril, Retrench »

Source: When in Peril, Retrench : Testing the Portfolio Channel of Contagion

Volume/Issue: 2004/131

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

ISBN: 9781451855319

Keywords: Contagion, risk aversion, portfolio choice, investors, stock market, mutual funds, international investors, International Finance: General, portforlio choice,

One plausible mechanism through which financial market shocks may propagate across countries is through the effect of past gains and losses on investors' risk aversion. We first present a simple model on how hetero...

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...

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...

Financial Globalization and Monetary Policy

Financial Globalization and Monetary Policy »

Source: Financial Globalization and Monetary Policy

Volume/Issue: 2007/279

Series: IMF Working Papers

Author(s): Michael Devereux , and Alan Sutherland

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 December 2007

ISBN: 9781451868425

Keywords: Portfolio Choice, International Risk Sharing, exchange rate, price stability, interest rate, current account,

What does financial globalization imply for the design of monetary policy? Does the case for price stability change in an environment of large cross country gross asset holdings?. This paper is concerned with the e...

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...

The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice

The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice »

Source: The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice

Volume/Issue: 2007/163

Series: IMF Working Papers

Author(s): Akito Matsumoto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867275

Keywords: international business cycle, international portfolio choice, nonseparability in utility, nontraded goods, nontraded factors, traded good, traded goods, correlation, equations, equation,

This paper analyzes the role of nonseparable utility and nontradables in business cycles and portfolio choice. I find that nonseparability in utility can change the portfolio choice significantly. Unlike previous r...

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...

Trade Liberalization Strategies

Trade Liberalization Strategies »

Source: Trade Liberalization Strategies : What Could South Eastern Europe Learn From Cefta and Bfta?

Volume/Issue: 2003/239

Series: IMF Working Papers

Author(s): Antonis Adam , James McHugh , and Theodora Kosma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875799

Keywords: Trade liberalization, gravity models, stability pact, CEFTA, BFTA, trade area, free trade, free trade area, regional trade, portfolio choice

This paper explores the effectiveness of the Central European Free Trade Area (CEFTA) and the Baltic Free Trade Area (BFTA). Estimates from a gravity model and bilateral trade data support the view that both CEFTA...