Portfolio Choice of Financial Investors and European Business Cycle Convergence – A Panel Analysis for EU Countries
We investigate the linkage between business cycle convergence and financial portfolio choice for a panel of 18 EU countries. We construct an index of similarity of financial portfolios which we then put into context with the view that “the financial world” has an impact on business cycles and contributes to business cycle convergence via the consumption-wealth linkage. The model which guides our analysis is the International Asset Pricing Model (IAPM). Portfolios of the 18 EU countries investigated by us turn out to become more similar over time. According to our fixed effects GMM TSLS estimations, similar portfolios contribute to a convergence of business cycles - via a convergence of consumption cycles. This turns out to be especially true for country-pairs that include euro area non-member countries and, thus, have quite different income and wealth structures.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sousa, Ricardo M., 2009.
"Wealth effects on consumption: evidence from the euro area,"
Working Paper Series
1050, European Central Bank.
- Ricardo M. Sousa, 2009. "Wealth Effetcs on Consumption: Evidence from the euro area," NIPE Working Papers 12/2009, NIPE - Universidade do Minho.
- Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
- Christopher F Baum, 2006. "An Introduction to Modern Econometrics using Stata," Stata Press books, StataCorp LP, number imeus, November.
- Brooks, Robin & Del Negro, Marco, 2004.
"The rise in comovement across national stock markets: market integration or IT bubble?,"
Journal of Empirical Finance,
Elsevier, vol. 11(5), pages 659-680, December.
- Robin Brooks & Marco Del Negro, 2002. "The rise in comovement across national stock markets: market integration or IT bubble?," Working Paper 2002-17, Federal Reserve Bank of Atlanta.
- Slacalek Jiri, 2009.
"What Drives Personal Consumption? The Role of Housing and Financial Wealth,"
The B.E. Journal of Macroeconomics,
De Gruyter, vol. 9(1), pages 1-37, October.
- Jiri Slacalek, 2006. "What Drives Personal Consumption?: The Role of Housing and Financial Wealth," Discussion Papers of DIW Berlin 647, DIW Berlin, German Institute for Economic Research.
- Slacalek, Jiri, 2009. "What Drives Personal Consumption? The Role of Housing and Financial Wealth," Working Paper Series 1117, European Central Bank.
- Todd E. Clark & Eric van Wincoop, 1999.
"Borders and business cycles,"
91, Federal Reserve Bank of New York.
- Pesaran, M.H., 2003.
"A Simple Panel Unit Root Test in the Presence of Cross Section Dependence,"
Cambridge Working Papers in Economics
0346, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Ansgar Belke & Jens Heine, 2007. "On the endogeneity of an exogenous OCA-criterion: specialisation and the correlation of regional business cycles in Europe," Empirica, Springer, vol. 34(1), pages 15-44, March.
- M. Ruth & K. Donaghy & P. Kirshen, 2006. "Introduction," Chapters, in: Regional Climate Change and Variability, chapter 1 Edward Elgar.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
When requesting a correction, please mention this item's handle: RePEc:rmn:wpaper:201312. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Albrecht F. Michler)
If references are entirely missing, you can add them using this form.