International Diversification At Home And Abroad
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International Diversification At Home And Abroad
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Author : Fang Cai
language : en
Publisher:
Release Date : 2004
International Diversification At Home And Abroad written by Fang Cai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
International Diversification At Home And Abroad
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Author : Feng Cai
language : en
Publisher:
Release Date : 2004
International Diversification At Home And Abroad written by Feng Cai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Investments, Foreign categories.
International Diversification At Home And Abroad
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Author :
language : en
Publisher:
Release Date : 2006
International Diversification At Home And Abroad written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
The International Diversification Puzzle When Goods Prices Are Sticky
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Author : Mr.Charles Engel
language : en
Publisher: International Monetary Fund
Release Date : 2009-01-01
The International Diversification Puzzle When Goods Prices Are Sticky written by Mr.Charles Engel and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-01-01 with Business & Economics categories.
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 these assets achieves the same allocations as trade in a complete set of nominal state-contingent claims in our linearized model. When there is a high degree of price stickiness, we show that not much equity diversification is required to replicate the complete-markets equilibrium when agents are able to hedge foreign exchange risk sufficiently. Moreover, temporarily sticky nominal goods prices can have large effects on equity portfolios even when dividend processes are very persistent.
International Diversification Gains And Home Bias In Banking
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Author : Alicia García-Herrero
language : en
Publisher: International Monetary Fund
Release Date : 2007-12
International Diversification Gains And Home Bias In Banking written by Alicia García-Herrero and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12 with Business & Economics categories.
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 diversification gains from their local operations abroad. The paper finds that international banks with a larger share of assets allocated to foreign subsidiaries, particularly to those located in emerging market countries, are able to attain higher risk-adjusted returns. These gains are somewhat reduced- but by no means depleted-when international banks concentrate their subsidiaries in specific geographical regions. The paper also finds a substantial home bias in the international allocation of bank assets, relative to the results of a mean-variance portfolio optimization model. Overall, international diversification gains in banking appear to be substantial, albeit largely unexploited by current bank expansion strategies. These results suggest that international diversification gains could usefully be considered in the second pillar of Basel II as the first pillar is based only on the idiosyncratic risk of recipient countries.
Geoeconomic Fragmentation And International Diversification Benefits
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Author : Tatsushi Okuda
language : en
Publisher: International Monetary Fund
Release Date : 2024-03-08
Geoeconomic Fragmentation And International Diversification Benefits written by Tatsushi Okuda and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-03-08 with Business & Economics categories.
This paper applies the two-country open-economy model with trade in stocks and bonds of Coeurdacier et al. (2010) to quantify the loss of international diversification benefits for major advanced economies, which have a significant presence in international financial markets, under geoeconomic fragmentation. We perform counterfactual simulations under different hypothetical fragmentation scenarios in which these economies are unable to trade with geopolitically distant countries, as measured by voting disagreement on foreign policy issues at the United Nations General Assembly meetings during 2012-2021. The simulation results imply a potentially significant loss of international diversification benefits of financial openness for the considered advanced economies by limiting trading to partner countries that are geopolitical allies with highly synchronized business cycles.
Do Foreign Stocks Substitute For International Diversification
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Author : Vicente J. Bermejo
language : en
Publisher:
Release Date : 2019
Do Foreign Stocks Substitute For International Diversification written by Vicente J. Bermejo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Using a novel sample of foreign securities available for trade in 42 countries during the last four decades (1979-2018), we characterize the rise in importance of foreign stocks for investors in their host countries and its implications for diversification benefits across industries and countries. We document a substantial increase in the number and the market value of stocks available for trade in markets outside of their home country (i.e., foreign stocks). The availability of foreign stocks in host countries allows domestic investors to increase their international diversification from home by investing in these stocks. We find that this rise in the number of foreign securities has led to the increase in the importance of industry effects relative to country effects on stock returns. Thus, we conclude that including foreign stocks in portfolio investments offers an effective substitute for international diversification, and significantly contributes towards increasing the integration of global markets.
Multinationals And The Gains From International Diversification
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Author : Patrick F. Rowland
language : en
Publisher:
Release Date : 1998
Multinationals And The Gains From International Diversification written by Patrick F. Rowland and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Diversification in industry categories.
One possible explanation for home bias is that investors may obtain indirect international diversification benefits by investing in multinational firms rather than by investing directly in foreign markets. This paper employs mean-variance spanning tests to examine the diversification potential of multinational firms and foreign market indices for investors domiciled in Canada, France, Germany, Italy, Japan, the United Kingdom and the United States. We find that in most countries and most time periods, the portfolio of domestic stocks spans the risk and return opportunities of a portfolio that includes domestic and multinational stocks. However, there is weak evidence that U.S. multinationals provided global diversification benefits in the full 1984-92 sample and in the post-1987 subsample. We also find that the addition of foreign market indices to a domestic portfolio - inclusive of multinationals - provides diversification benefits. The economic importance of the shift of the portfolio frontier - measured as the utility gain from diversification - varies considerably from market to market and often reflects the benefits of large short positions in certain markets.
The International Diversification Puzzle Home Bias In Countries Investment Portfolios
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Author : Helena Kleinert
language : en
Publisher:
Release Date : 2016
The International Diversification Puzzle Home Bias In Countries Investment Portfolios written by Helena Kleinert and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The International Diversification Puzzle Is Not As Bad As You Think
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Author : Jonathan Heathcote
language : en
Publisher:
Release Date : 2007
The International Diversification Puzzle Is Not As Bad As You Think written by Jonathan Heathcote and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with International trade categories.
Abstract : In simple one-good international macro models, the presence of non-diversifiable labor income risk means that country portfoliosshould be heavily biased toward foreign assets. The fact that the opposite pattern of diversification is observed empirically constitutes the international diversification puzzle. We embed a portfolio choice decision in a frictionless two-country, two-good version of the stochastic growth model. In this environment, which is a workhorse for international business cycle research, we derive a closed-form expression for equilibrium country portfolios. These are biased towards domestic assets, as in the data. Home bias arises because endogenous international relative price fluctuations make domestic stocks a good hedge against non-diversifiable labor income risk. We then use our our theory to link openness to trade to the level of diversification, and find that it offers a quantitatively compelling account for the patterns of international diversification observed across developed economies in recent years.