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Citations for "International portfolio nondiversification and exchange rate variability"

by Stockman, Alan C. & Dellas, Harris

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  1. Jane Marrinan, 1996. "Government consumption and private consumption correlations," Economics Working Papers 187, Department of Economics and Business, Universitat Pompeu Fabra.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. Joshua Aizenman, 1997. "International Portfolio Diversification with Generalized Expected Utility Preferences," NBER Working Papers 5965, National Bureau of Economic Research, Inc.
  7. 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.
  8. 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.
  9. Detken, Carsten & Hartmann, Philipp, 2000. "The Euro and International Capital Markets," CEPR Discussion Papers 2461, C.E.P.R. Discussion Papers.
  10. 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.
  11. Alan C. Stockman, 1987. "The equilibrium to exchange rates," Economic Review, Federal Reserve Bank of Richmond, issue Mar, pages 12-30.
  12. Jonathan Heathcote & Fabrizio Perri, 2004. "The international diversification puzzle is not as bad as you think," 2004 Meeting Papers 152, Society for Economic Dynamics.
  13. Svensson, Lars E O, 1988. "Trade in Risky Assets," American Economic Review, American Economic Association, vol. 78(3), pages 375-94, June.
  14. Karabarbounis, Loukas, 2010. "Labor wedges and open economy puzzles," MPRA Paper 31370, University Library of Munich, Germany.
  15. Elvan Ozlu & Don 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.
  16. 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.
  17. Maurice Obstfeld, 1993. "International Capital Mobility in the 1990s," NBER Working Papers 4534, National Bureau of Economic Research, Inc.
  18. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice," IMF Working Papers 07/163, International Monetary Fund.
  19. 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.
  20. De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne, 2007. "The plausibility of risk estimates and implied costs to international equity investment," Working Papers 2007/34, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  21. Akito Matsumoto & Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 05/165, International Monetary Fund.
  22. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, vol. 51(1), pages 63-115, March.
  23. repec:spo:wpmain:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  24. 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.
  25. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, vol. 57(4), pages 383-437, December.
  26. Fabrice Collard & Harris Dellas & Behzad Diba & Alan Stockman, 2009. "Goods Trade and International Equity Portfolios," School of Economics Working Papers 2009-14, University of Adelaide, School of Economics.
  27. Coeurdacier, Nicolas & Guibaud, Stéphane, 2011. "International portfolio diversification is better than you think," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 289-308, March.
  28. 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.
  29. Angel Serrat, 2001. "A Dynamic Equilibrium Model of International Portfolio Holdings," Econometrica, Econometric Society, vol. 69(6), pages 1467-1489, November.
  30. Corsetti, Giancarlo & Dedola, Luca & Leduc, Sylvain, 2004. "International Risk Sharing and the Transmission of Productivity Shocks," CEPR Discussion Papers 4746, C.E.P.R. Discussion Papers.
  31. 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.
  32. Coeurdacier, Nicolas, 2009. "Do trade costs in goods market lead to home bias in equities?," Journal of International Economics, Elsevier, vol. 77(1), pages 86-100, February.
  33. 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.
  34. Hassan, Tarek, 2012. "Country Size, Currency Unions, and International Asset Returns," CEPR Discussion Papers 8991, C.E.P.R. Discussion Papers.
  35. 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.
  36. 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.
  37. Baxter, Marianne & Jermann, Urban J. & King, Robert G., 1998. "Nontraded goods, nontraded factors, and international non-diversification," Journal of International Economics, Elsevier, vol. 44(2), pages 211-229, April.
  38. Pierre-Olivier Gourinchas & Nicolas Coeurdacier, 2008. "When Bonds Matter: Home Bias in Goods and Assets," 2008 Meeting Papers 342, Society for Economic Dynamics.
  39. Daly, Kevin & Vo, Xuan Vinh, 2013. "The determinants of home bias puzzle in equity portfolio investment in Australia," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 34-42.
  40. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g70969520 is not listed on IDEAS
  41. 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.
  42. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g81p7j6b6 is not listed on IDEAS
  43. 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.
  44. 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.
  45. Loukas Karabarbounis, 2012. "Home Production, Labor Wedges, and International Real Business Cycles," NBER Working Papers 18366, National Bureau of Economic Research, Inc.
  46. 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.
  47. Philipp Harms & Mathias Hoffmann & Christina Ortseifer, 2010. "The Home Bias in Equities and Distribution Costs," Working Papers 10.03, Swiss National Bank, Study Center Gerzensee.
  48. Marques, Luis B, 2007. "The Costs to Consumers of a Depreciated Conversion Rate to the Euro," MPRA Paper 5723, University Library of Munich, Germany.
  49. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Sciences Po publications info:hdl:2441/c8dmi8nm4pd, Sciences Po.
  50. Tarek Alexander Hassan, 2010. "Country Size, Currency Areas, and International Asset Returns," 2010 Meeting Papers 365, Society for Economic Dynamics.
  51. Karen K. Lewis, 1998. "International Home Bias in International Finance and Business Cycles," NBER Working Papers 6351, National Bureau of Economic Research, Inc.
  52. 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.
  53. 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.
  54. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  55. 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.
  56. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
  57. 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.
  58. 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.).
  59. 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.
  60. 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.
  61. 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.
  62. Timothy K. Chue, 2004. "The Spirit of Capitalism and International Risk Sharing," Econometric Society 2004 Far Eastern Meetings 589, Econometric Society.
  63. 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.
  64. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
  65. 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.
  66. Paolo Pesenti & Eric van Wincoop, 1996. "Do Nontraded Goods Explain the Home Bias Puzzle?," NBER Working Papers 5784, National Bureau of Economic Research, Inc.
  67. 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.
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