This paper analyses the persistence and mean reversion properties of sovereign debt and its components by applying fractional integration methods to long runs of annual data starting in 1831 for the UK and the US, in 1862 for Italy and in 1881 for France and Germany, and ending in all cases in...

This paper examines U.S. investors’ portfolio investment patterns since the global financial crisis, particularly since the European debt crisis that began in late 2009. The global financial crisis during 2007-2009 was accompanied by an increase in U.S. investors’ home bias. U.S. investors...