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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...

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...

Inflation Hedging for Long-Term Investors

Inflation Hedging for Long-Term Investors »

Source: Inflation Hedging for Long-Term Investors

Volume/Issue: 2009/90

Series: IMF Working Papers

Author(s): Shaun Roache , and Alexander Attie

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872378

Keywords: Investments, Portfolio Allocation, Diversification, monetary policy, effects of inflation, real interest rates, monetary policy regime,

Long-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds...

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...

International Investment Patterns1

International Investment Patterns1 »

Source: International Investment Patterns

Volume/Issue: 2004/134

Series: IMF Working Papers

Author(s): Philip Lane , and Gian Milesi-Ferretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

ISBN: 9781451855630

Keywords: International portfolio equity investment, gravity, stock market, equity investment, stock market capitalization, stock returns, foreign equity, International Lending and Debt Problems,

The paper provides a systematic analysis of bilateral, source and host factors driving portfolio equity investment across countries, using newly-released data on international equity holdings at the end of 2001. It...

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...

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...

Inflation Hedging for Long-Term Investors

Inflation Hedging for Long-Term Investors »

Volume/Issue: 2009/90

Series: IMF Working Papers

Author(s): Shaun Roache , and Alexander Attie

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

DOI: http://dx.doi.org/10.5089/9781451872378.001

ISBN: 9781451872378

Keywords: Investments, Portfolio Allocation, Diversification, monetary policy, effects of inflation, real interest rates, monetary policy regime,

Long-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds...

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 »

Volume/Issue: 2007/163

Series: IMF Working Papers

Author(s): Akito Matsumoto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

DOI: http://dx.doi.org/10.5089/9781451867275.001

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...

International Investment Patterns

International Investment Patterns »

Volume/Issue: 2004/134

Series: IMF Working Papers

Author(s): Philip Lane , and Gian Milesi-Ferretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

DOI: http://dx.doi.org/10.5089/9781451855630.001

ISBN: 9781451855630

Keywords: International portfolio equity investment, gravity, stock market, equity investment, stock market capitalization, stock returns, foreign equity, International Lending and Debt Problems,

The paper provides a systematic analysis of bilateral, source and host factors driving portfolio equity investment across countries, using newly-released data on international equity holdings at the end of 2001. It...