Portfolio holdings in the euro area - home bias and the role of international, domestic and sector-specific factors
AbstractThis paper aims to identify the determinants of portfolio restructuring in EMU member states since the introduction of the euro and especially during the financial turbulence of the past years. We find that, besides exchange rate volatility and traditional indicators of information and transaction costs, the perception of sovereign risk has become more important as a determinant of portfolio allocation. The shares of financial corporations have been affected disproportionately by this development. At the same time, banks substantially reduced their international investment, possibly the result of a deleveraging process. --
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Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2011,07.
Date of creation: 2011
Date of revision:
Financial Integration; Home Bias; Institutional Sectors; Financial Crisis;
Find related papers by JEL classification:
- F30 - International Economics - - International Finance - - - General
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-07 (All new papers)
- NEP-CBA-2011-05-07 (Central Banking)
- NEP-EEC-2011-05-07 (European Economics)
- NEP-MON-2011-05-07 (Monetary Economics)
- NEP-OPM-2011-05-07 (Open Economy Macroeconomics)
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