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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...

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...

The New Economy and Global Stock Returns

The New Economy and Global Stock Returns »

Source: The New Economy and Global Stock Returns

Volume/Issue: 2000/216

Series: IMF Working Papers

Author(s): Luis Catão , and Robin Brooks

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

ISBN: 9781451875089

Keywords: Economic models, Stock markets, portfolio diversification, international financial integration, new economy, stock returns, stock market, equity markets, standard deviations, standard deviation

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple...

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

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

DOI: http://dx.doi.org/10.5089/9781451872859.001

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...

International Diversification Gains and Home Bias in Banking

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

DOI: http://dx.doi.org/10.5089/9781451868449.001

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...

The New Economy and Global Stock Returns

The New Economy and Global Stock Returns »

Volume/Issue: 2000/216

Series: IMF Working Papers

Author(s): Luis Catão , and Robin Brooks

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

DOI: http://dx.doi.org/10.5089/9781451875089.001

ISBN: 9781451875089

Keywords: Economic models, Stock markets, portfolio diversification, international financial integration, new economy, stock returns, stock market, equity markets, standard deviations, standard deviation

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple...