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Citations for "International portfolio nondiversification and exchange rate variability"

by Stockman, Alan C. & Dellas, Harris

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  1. Coeurdacier, Nicolas & Guibaud, Stéphane, 2006. "International Portfolio Diversification Is Better Than You Think," ESSEC Working Papers DR 06013, ESSEC Research Center, ESSEC Business School.
  2. Jonathan Heathcote & Fabrizio Perri, 2004. "The international diversification puzzle is not as bad as you think," 2004 Meeting Papers 152, Society for Economic Dynamics.
  3. Pakko, Michael R, 1997. "International Risk Sharing and Low Cross-Country Consumption Correlations: Are They Really Inconsistent?," Review of International Economics, Wiley Blackwell, vol. 5(3), pages 386-400, August.
  4. Nicolas Coeurdacier, 2006. "Do trade costs in goods market lead to home bias in equities?," 2006 Meeting Papers 111, Society for Economic Dynamics.
  5. Marrinan, Jane, 1998. "Government consumption and private consumption correlations," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 615-636, August.
  6. Paul R. Bergin & Ju Hyun Pyun, 2012. "International Portfolio Diversification and Multilateral Effects of Correlations," NBER Working Papers 17907, National Bureau of Economic Research, Inc.
  7. Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2011. "When Bonds Matter: Home Bias in Goods and Assets," NBER Working Papers 17560, National Bureau of Economic Research, Inc.
  8. Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2005. "International risk-sharing and the transmission of productivity shocks," International Finance Discussion Papers 826, Board of Governors of the Federal Reserve System (U.S.).
  9. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  10. Lorenzo Bretscher & Christian Julliard & Carlo Rosa, 2015. "Human capital and international portfolio diversification: a reappraisal," LSE Research Online Documents on Economics 64835, London School of Economics and Political Science, LSE Library.
  11. Maurice Obstfeld., 1994. "International Capital Mobility in the 1990s," Center for International and Development Economics Research (CIDER) Working Papers C94-037, University of California at Berkeley.
  12. Leslie Young & James A. Bennett, 1999. "International Stock Market Equilibrium with Heterogenous Tastes," American Economic Review, American Economic Association, vol. 89(3), pages 639-648, June.
  13. Alan C. Stockman, 1993. "International Transmission under Bretton Woods," NBER Chapters, in: A Retrospective on the Bretton Woods System: Lessons for International Monetary Reform, pages 317-356 National Bureau of Economic Research, Inc.
  14. Detken, Carsten & Hartmann, Philipp, 2000. "The euro and international capital markets," Working Paper Series 0019, European Central Bank.
  15. Hassan, Tarek & Mertens, Thomas M. & Zhang, Tony, 2015. "Not so Disconnected: Exchange Rates and the Capital Stock," CEPR Discussion Papers 10744, C.E.P.R. Discussion Papers.
  16. Timothy K. Chue, 2004. "The Spirit of Capitalism and International Risk Sharing," Econometric Society 2004 Far Eastern Meetings 589, Econometric Society.
  17. Coeurdacier, Nicolas & Guibaud, Stéphane, 2006. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," ESSEC Working Papers DR 06014, ESSEC Research Center, ESSEC Business School.
  18. Akito Matsumoto & Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 05/165, International Monetary Fund.
  19. Coeurdacier, Nicolas & Rey, Hélène, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
  20. Elvan Ozlu & Don E. Schlagenhauf & Jeffrey M. Wrase, 1996. "Exchange rates and international relative prices and quantities in equilibrium models with alternative preference specifications," Working Papers 96-10, Federal Reserve Bank of Philadelphia.
  21. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.
  22. Tarek A. Hassan, 2009. "Country Size, Currency Unions, and International Asset Returns," Working Papers 154, Oesterreichische Nationalbank (Austrian Central Bank).
  23. De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne, 2010. "The plausibility of risk estimates and implied costs to international equity investments," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 623-644, September.
  24. Balvers, Ronald J. & H. Bergstrand, Jeffrey, 1997. "Equilibrium real exchange rates: closed-form theoretical solutions and some empirical evidence," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 345-366, June.
  25. Prakash Apte & Piet Sercu & Raman Uppal, 1996. "The Equilibrium Approach to Exchange Rates: Theory and Tests," NBER Working Papers 5748, National Bureau of Economic Research, Inc.
  26. Kalok Chan & Vicentiu Covrig & Lilian Ng, 2005. "What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide," Journal of Finance, American Finance Association, vol. 60(3), pages 1495-1534, 06.
  27. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  28. Vo, Xuan Vinh, 2008. "The determinants of home bias puzzle in equity portfolio investment in Australia," MPRA Paper 26982, University Library of Munich, Germany, revised 26 Jul 2009.
  29. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice," IMF Working Papers 07/163, International Monetary Fund.
  30. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
  31. Harms, Philipp & Hoffmann, Mathias & Ortseifer, Christina, 2010. "The home bias in equities and distribution costs," Discussion Paper Series 1: Economic Studies 2010,24, Deutsche Bundesbank, Research Centre.
  32. Svensson, Lars E O, 1988. "Trade in Risky Assets," American Economic Review, American Economic Association, vol. 78(3), pages 375-94, June.
  33. Massimo Guidolin, 2005. "Home bias and high turnover in an overlapping generations model with learning," Working Papers 2005-012, Federal Reserve Bank of St. Louis.
  34. Alan C. Stockman, 1987. "The equilibrium to exchange rates," Economic Review, Federal Reserve Bank of Richmond, issue Mar, pages 12-30.
  35. Paolo Pesenti & Eric van Wincoop, 1996. "Do Nontraded Goods Explain the Home Bias Puzzle?," NBER Working Papers 5784, National Bureau of Economic Research, Inc.
  36. Angel Serrat, 2001. "A Dynamic Equilibrium Model of International Portfolio Holdings," Econometrica, Econometric Society, vol. 69(6), pages 1467-1489, November.
  37. Barron, John M. & Ni, Jinlan, 2008. "Endogenous asymmetric information and international equity home bias: The effects of portfolio size and information costs," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 617-635, June.
  38. Pakko Michael R., 2003. "Substitution Elasticities and Investment Dynamics in Two-Country Business Cycle Models," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-20, November.
  39. repec:spo:wpmain:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  40. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
  41. Michael R. Pakko, 1997. "Trade, investment, and international borrowing in two-country business cycle models," Working Papers 1997-023, Federal Reserve Bank of St. Louis.
  42. Karabarbounis, Loukas, 2010. "Labor wedges and open economy puzzles," MPRA Paper 31370, University Library of Munich, Germany.
  43. Chan, Kalok & Covrig, Vicentiu & Ng, Lilian, 2009. "Does home bias affect firm value? Evidence from holdings of mutual funds worldwide," Journal of International Economics, Elsevier, vol. 78(2), pages 230-241, July.
  44. van Wincoop, Eric & Warnock, Francis E., 2010. "Can trade costs in goods explain home bias in assets?," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1108-1123, October.
  45. Ed Westerhout, 2002. "The Capital Tax and Welfare Effects from Asymmetric Information on Equity Markets," International Tax and Public Finance, Springer, vol. 9(3), pages 219-233, May.
  46. Christian Julliard, 2004. "Human capital and international portfolio choice," LSE Research Online Documents on Economics 4813, London School of Economics and Political Science, LSE Library.
  47. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  48. Akito Matsumoto & Charles Engel, 2009. "The International Diversification Puzzle when Goods Prices Are Sticky; It's Really About Exchange-Rate Hedging, not Equity Portfolios," IMF Working Papers 09/12, International Monetary Fund.
  49. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g81p7j6b6 is not listed on IDEAS
  50. Tarek Alexander Hassan, 2010. "Country Size, Currency Areas, and International Asset Returns," 2010 Meeting Papers 365, Society for Economic Dynamics.
  51. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Sciences Po publications info:hdl:2441/c8dmi8nm4pd, Sciences Po.
  52. Karen K. Lewis, 1994. "Puzzles in International Financial Markets," NBER Working Papers 4951, National Bureau of Economic Research, Inc.
  53. Marianne Baxter & Urban J. Jermann & Robert G. King, 1995. "Nontraded Goods, Nontraded Factors, and International Non-Diversification," NBER Working Papers 5175, National Bureau of Economic Research, Inc.
  54. Joshua Aizenman, 1999. "International Portfolio Diversification with Generalized Expected Utility Preferences," Canadian Journal of Economics, Canadian Economics Association, vol. 32(4), pages 995-1008, August.
  55. Ni, Jinlan, 2009. "The effects of portfolio size on international equity home bias puzzle," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 469-478, June.
  56. Pesenti, Paolo & van Wincoop, Eric, 2002. "Can Nontradables Generate Substantial Home Bias?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 25-50, February.
  57. Hnatkovska, Viktoria, 2010. "Home bias and high turnover: Dynamic portfolio choice with incomplete markets," Journal of International Economics, Elsevier, vol. 80(1), pages 113-128, January.
  58. Baele, Lieven & Pungulescu, Crina & Ter Horst, Jenke, 2007. "Model uncertainty, financial market integration and the home bias puzzle," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 606-630, June.
  59. Takato Hiraki & Akitoshi Ito & Fumiaki Kuroki, 2003. "Investor Familiarity and Home Bias: Japanese Evidence," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 281-300, December.
  60. Eric van Wincoop & Francis E. Warnock, 2006. "Is Home Bias in Assets Related to Home Bias in Goods?," NBER Working Papers 12728, National Bureau of Economic Research, Inc.
  61. Loukas Karabarbounis, 2012. "Home Production, Labor Wedges, and International Real Business Cycles," NBER Working Papers 18366, National Bureau of Economic Research, Inc.
  62. Roger Stover & Boyle, Glenn, 2008. "Staying Close to Home: Foreign Bank Participation in Syndicated Loans," Working Paper Series 4019, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  63. Coen, Alain, 2001. "Home bias and international capital asset pricing model with human capital," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 497-513, December.
  64. Anil Mishra, 2011. "Australia’s equity home bias and real exchange rate volatility," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 223-244, August.
  65. Fabrice Collard & Harris Dellas & Behzad Diba & Alan Stockman, 2007. "Goods Trade and International Equity Portfolios," NBER Working Papers 13612, National Bureau of Economic Research, Inc.
  66. Marques, Luis B, 2007. "The Costs to Consumers of a Depreciated Conversion Rate to the Euro," MPRA Paper 5723, University Library of Munich, Germany.
  67. Okina, Kunio & Shirakawa, Masaaki & Shiratsuka, Shigenori, 1999. "Financial Market Globalization: Present and Future," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(3), pages 1-40, December.
  68. Moosa, Imad A. & Al-Deehani, Talla M., 2009. "The Myth of International Diversification," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 62(3), pages 383-406.
  69. Ross Levine, 1988. "The forward exchange rate bias: a new explanation," International Finance Discussion Papers 338, Board of Governors of the Federal Reserve System (U.S.).
  70. Chowdhry, Bhagwan & Titman, Sheridan, 1993. "Why Real Interest Rates, Cost of Capital and Price/Earnings Ratios Vary Across Countries," University of California at Los Angeles, Anderson Graduate School of Management qt93k425dd, Anderson Graduate School of Management, UCLA.
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