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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...

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...

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...

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...

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...

Portfolio Choice in a Monetary Open-Economy DSGE Model

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

DOI: http://dx.doi.org/10.5089/9781451861846.001

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...

The Determinants of International Portfolio Holdings and Home Bias

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

DOI: http://dx.doi.org/10.5089/9781451845297.001

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...

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

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

DOI: http://dx.doi.org/10.5089/9781498323505.001

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...

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

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

DOI: http://dx.doi.org/10.5089/9781498365628.001

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...

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...