Showing 1 - 10 of 647
We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States. On the basis of observed growth in sectoral value added output, we calculate for each state the efficient frontier for investments in the real economy, the efficient Sharpe...
Persistent link: https://www.econbiz.de/10005504526
This paper analyzes the determinants of cross-border asset trade on cross-country data and a Swedish data set. We focus our analysis on the effect of the euro for the determinants of bond trade, equity and banking assets. With the help of a theoretical model, we attempt to disentangle the...
Persistent link: https://www.econbiz.de/10005497990
International financial integration helps to diversify risk but also may increase the transmission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral constraints. Collateral...
Persistent link: https://www.econbiz.de/10011083328
This paper documents how poorer and less educated US households hold a smaller fraction of foreign assets in their financial portfolio. This average home bias of the poor is partly due to a lower probability of participating in foreign asset markets, often attributed to fixed costs of market...
Persistent link: https://www.econbiz.de/10011083824
We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States. On the basis of observed growth in sectoral value-added output, we calculate for each state the efficient frontier for investments in the real economy. We study how rapidly...
Persistent link: https://www.econbiz.de/10005662195
We develop a model where wealthy investors have an incentive to become controlling shareholders because they can earn additional benefits by expropriating outside shareholders. As a consequence, in countries where minority investor rights are poorly protected, both domestic and foreign portfolio...
Persistent link: https://www.econbiz.de/10005114263
This paper examines the co-movement among stock market prices and exchange rates within a three-country Centre-Periphery dynamic equilibrium model in which agents in the Centre country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...
Persistent link: https://www.econbiz.de/10005504325
While financial markets have recently become more complete and international capital flows well liberalized, markets for goods remain segmented. To investigate how more complete security markets may relieve the effects of this segmentation, we examine a series of two-country economies with...
Persistent link: https://www.econbiz.de/10005662013
This paper studies international equity markets when some investors have private information that is valuable for trading in many countries simultaneously. We use a dynamic model of equity trading to show that 'global' private information helps understand US investors’ trading behaviour and...
Persistent link: https://www.econbiz.de/10005667137
The introduction of the euro on 1 January 1999 created the conditions for an integrated government bond market in the euro area. Using a unique data set from the electronic trading platform Euro-MTS, we consider what is the ‘benchmark’ in this market. We develop and apply two definitions of...
Persistent link: https://www.econbiz.de/10005789214