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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...

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...

Globalization, Gluts, Innovation or Irrationality

Globalization, Gluts, Innovation or Irrationality »

Source: Globalization, Gluts, Innovation or Irrationality : What Explains the Easy Financing of the U.S. Current Account Deficit?

Volume/Issue: 2007/160

Series: IMF Working Papers

Author(s): Ravi Balakrishnan , Volodymyr Tulin , and Tamim Bayoumi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867244

Keywords: U.S. Current Account, Financing, Home Bias, Global Savings Glut, Portfolio Balance, ICAPM, ic, bond, bonds, financial innovation

This paper examines the roles of U.S. financial innovation, financial globalization, and the savings glut hypothesis in explaining the rise in U.S. external debt, first in a portfolio balance model, and then empiri...

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...

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...

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...

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...