2 edition of International home bias in international finance and business cycles found in the catalog.
International home bias in international finance and business cycles
Karen K. Lewis
Domestic investors hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would suggest. This phenomenon has been called equity home bias. In the absence of this home bias, investors would optimally diversify away domestic output risk. Therefore, in a world without investor home bias, consumption growth rates would tend to comove across countries even when output growth rates do not. Empirically, however, consumption growth rates tend to have a lower correlation across countries than do output growth rates. Moreover, consumption growth in each country appears to be highly correlated with its own output growth relative to the world. This phenomenon may be called consumption home bias. In this paper, I evaluate existing explanations for these two types of home bias.
|Statement||Karen K. Lewis.|
|Series||NBER working paper series -- working paper 6351, Working paper series (National Bureau of Economic Research) -- working paper no. 6351.|
|Contributions||National Bureau of Economic Research.|
|The Physical Object|
|Pagination||59,  p. :|
|Number of Pages||59|
Information Immobility and the Home Bias Puzzle, with Stijn Van Nieuwerburgh Journal of Finance, June , v. 64(3), p Glucksman Institute Research Prize - 1st place Financial Management Association’s Best Paper Prize in Investments - Technical Appendix Learning About Reform: Time-Varying Support for Structural Adjustment. Linda L. Tesar, Ingrid M. Werner () Home Bias and High Turnover. Journal of International Money and Finance, vol. 14, issue 4, ; Alan Stockman, Linda L. Tesar () Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining International Comovements. American Economic Review, vol. 85, issue 1, Veldkamp is the author of the textbook Information Choice in Macroeconomics and Finance, printed by the Princeton University Press. The textbook highlights how information choice can be used to answer questions regarding "monetary economics, portfolio choice theory, business cycle theory, international finance, asset pricing, and other areas.". Find a huge variety of new & used International finance books online including bestsellers & rare titles at the best prices. Shop International finance books at Alibris.
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International Home Bias in International Finance and Business Cycles Domestic investors hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would suggest.
This phenomenon has been called equity home bias.'. Get this from a library. International home bias in international finance and business cycles. [Karen K Lewis; National Bureau of Economic Research.] -- Domestic International home bias in international finance and business cycles book hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would suggest.
This phenomenon has been called equity home bias. International Home Bias in International Finance and Business Cycles Karen K. Lewis. NBER Working Paper No. Issued in January NBER Program(s):Asset Pricing Program, International Finance and Macroeconomics Program Domestic investors hold a substantially larger proportion of their wealth portfolios in domestic assets than standard portfolio theory would by: European Business Cycle Convergence: Portfolio Similarity and a Declining Home Bias of Private Investors (Hohenheimer volkswirtschaftliche Schriften) [Schneider, Jennifer] on *FREE* shipping on qualifying offers.
European Business Cycle Convergence: Portfolio Similarity and a Declining Home Bias of Private Investors (Hohenheimer volkswirtschaftliche Schriften)Cited by: 1. Downloadable. This paper documents a marked increase in international consumption risk sharing throughout the recent globalization period.
Unlike earlier studies that have found it difficult to document a consistent effect of financial globalization on international consumption comovements, we make use of the information implicit in the relative levels of consumption and output to measure long.
Downloadable (with restrictions). Home bias is a perennial feature of international capital markets. We review various explanations of this puzzling phenomenon highlighting recent developments in macroeconomic modeling that incorporate international portfolio choices in standard twocountry general equilibrium models.
We refer to this new literature as Open Economy Financial Macroeconomics. Within the vast literature on the international business cycles, two main lines of research are related to this paper. The first examines the determinants of the international business cycles.
Traditionally, international trade has been considered the main channel of the international transmission by: The Six Major Puzzles in International Macroeconomics * tripping).
Period 2 consumption of the home good remains constant at YH,2 as long as PH2 remains strictly between P((1 - T) and P*/(1 - T), but equation (9) implies that PH,2 falls as C1 rises and C2 falls, until PH,2 reaches P*(1 - T).Cited by: International Real Business Cycles David K.
Backus,Yeeur York Cnz~lersztj Patrick J. Kehoe Unzversztj of,Mznnesota and Federal Reserve Bank ofLblznneapolw Finn E. Kydland Carnegzc i~f~llo~z C~zzverszty We ask whether a two-country real business cycle model can account simultaneously for domestic and international aspects International home bias in international finance and business cycles book businessCited by: Also, countries with less home bias, on average, tended to obtain more risk sharing in international markets.
Using panel data estimations, we demonstrate that less home bias is associated with more international risk sharing when both cross-sectional International home bias in international finance and business cycles book time-series dimensions.
The increase in international consumption risk sharing is closely associated with the decline in international portfolio home bias.
While capital income flows remain relatively limited as a channel of risk sharing at business cycle frequencies, we find that better international portfolio diversification has led to a International home bias in international finance and business cycles book increase in capital income flows at medium and long horizons.
In the finance literature, this effect is called home-bias puzzle, whereby it can vary in the field of action from a country level to a state or even national level bias (Coval and Moskowitz, Essays in Business Cycles and International Finance A Dissertation submitted to the Faculty of the Graduate School of Arts and Sciences of Georgetown University in partial ful llment of the requirements for the degree of Doctor of Philosophy in Economics By David P.
International Business Cycles: Theory and Evidence David Backus, Patrick J. Kehoe, Finn E. Kydland. NBER Working Paper No. Issued in October NBER Program(s):International Finance and Macroeconomics We review recent work comparing properties of international business cycles with those of dynamic general equilibrium models, emphasizing two discrepancies between theory and.
International Real Business Cycles David K. Backus New York University Patrick J. Kehoe University of Minnesota and Federal Reserve Bank of Minneapolis Finn E. Kydland Carnegie Mellon University We ask whether a two-country real business cycle model can account simultaneously for domestic and international aspects of business cycles.
Business Cycles: The Problem and Its Setting. Wesley Clair Mitchell. Published in by NBER in NBER Book Series Studies in Business Cycles Order from pages ISBN: 0 Cited by: This entertaining book describes the global history of economic fluctuations and business cycle theory over more than years.
It explains the core of the problem and shows how cycles can be forecast and how they are managed by central by: 9. 4 Figure A. Financial Cycles: Duration and Coincidence Notes: Duration for downturns is defined as the number of quarters between peak and on for upturns is defined as the time it takes to attain the level at the previous peak after the Size: 1MB.
The observed international home bias has traditionally been viewed as an anomaly. We provide statistical evidence contrary to this view within a mean-variance framework.
We investigate two methods of estimating the expected return and covariance parameters: (i) the Bayes-Stein "shrinkage" algorithm, and (ii) the traditional Markowitz approach.
The analysis is conducted in a standard two-sector international real business cycle model in which we introduce dynamic portfolio choice over equities and an international bond. The model. Business Cycle Indicators, Volume 1: Geoffrey H.
Moore, ed. Federal Receipts and Expenditures during Business Cycles, John M. Firestone: International Financial Transactions and Business Cycles: Oskar Morgenstern: Consumption and Business Fluctuations: A Case Study of the Shoe, Leather, Hide Sequence: Ruth P.
Mack. The Relation Between Local Bias, Home Bias, and Financial Sophistication bias contributes to the international home bias puzzle. regional business cycles synchronize due to a nonlinear.
We document that international home bias in debt and equity holdings declined during the period – at the same time as international risk sharing increased.
Business cycles are driven by technology shocks Investors hold capital in both countries Investors face leverage constraints on debt Endogenous labor supply Capital accumulation Calibrate the model to the US and the rest of the world.
Financial frictions help the model to match the positive business cycle co-movements in the data. Introduction.
International real business cycle models with complete markets (see, for example, Backus et al., ) have trouble accounting for at least three features of international y, empirical cross-country consumption correlations are generally similar to cross-country output correlations, whereas existing models typically produce consumption correlations much higher than Cited by: For this purpose an index is constructed which measures the similarity of investment portfolios.
The idea is that financial portfolio choice has an impact on business cycles and contributes to convergence via the consumption-wealth linkage. The background of the analysis is the International Cited by: 1.
Documenting International Business Cycles. Although business cycles are most commonly used to describe the state of a single country's economy, globalization and the proliferation of regional trade agreements have prompted economists to study common movements of these cycles.
Journal of International Money and Finance Volume 14 Number 4 Home bias and high turnover: L L Tesar and I M Wemer more than the rate observed based on a buy-and-hold strategy with reinvest- ment of capital gains. Several issues should be kept in mind in drawing inferences from these estimates of international investment by: The close comovement of assets and liabilities, in turn, reflects strong cross-country correlation between equity prices and moderate comovement of gross outflows and inflows.
I analyze an international real business cycle (IRBC) model to evaluate possible causes of these correlations. International business cycles and the relative price of investment goods Parantap Basu Durham University of TFP on the terms of trade for a broad range of economies where the home bias in consumption exceeds investment and there is a sizable adjustment cost of investment.
As argued in the introduction, international diversification (a small home bias) and similar portfolios could have an impact on business cycle convergence. The proceeding in the next sections can be described as follows: Firstly, it is shown why converged business cycles are important for a monetary union such as the EMU.
Applied Financial Macroeconomics and Investment Strategy: Professor of Economics and International Business, Stern School of Business, New York University, USA and bestselling author of Crisis Economic The author’s thesis is based on the idea that the business cycle is a critical factor explaining major fluctuations in the different /5(22).
When it first appeared inthe first edition of Recessions and Depressions: Understanding Business Cycles offered readers an expertly guided tour through fundamental business cycle theories and the latest research on pivotal market failures.
In the aftermath of the events of the economic crisis, Knoop offers an extensively updated new 4/5(2). International finance theory defines the open economy as one that is involved in international trade. Through international finance analysis, researchers aim to explain the fiscal and monetary decision-making of a government and its effect on aggregate economic.
Topics treated include: international risk sharing, international real business cycle models, relative price movements, new and old models of sticky prices and stabilization policies, the economics of currency areas, speculative attacks, and models of sovereign debt.
Coeurdacier N, and H. Rey, “Home Bias in Open Economy Financial. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates.
Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars.
Get this from a library. European business cycle convergence: portfolio similarity and a declining home bias of private investors. [Jennifer Schneider] -- Is the euro area getting closer with regard to business cycles.
The study investigates the linkage between business cycle convergence and financial portfolio choice for a panel of 18 European. An updated look at what Fischer Black's ideas on business cycles and equilibrium mean today.
Throughout his career, Fischer Black described a view of business fluctuations based on the idea that a well-developed economy will be continually in by: Data from U.S. public firms show that in booms large firms finance with debt and payout equity, whereas small firms issue both equity and debt.
Therefore, large firms generally substitute between debt and equity financing over the business cycle, whereas small firms adhere to a procyclical financing policy for debt and by: Home bias in trade puzzle: The home bias in trade puzzle is an empirical observation that even when factors such as economic size of trading partners and the distance between them are considered, trade between regions within a given country is substantially greater than trade between regions in.
3. Home Bias Observed in International Pdf Movements. Following the initial observation of home bias in the finance literature based upon exogenous equity prices, the international macroeconomics literature began to examine investor home bias as well in the s.
In this newer literature, asset prices are typically treated as endogenous.International economics is concerned with the effects upon economic activity from international differences in productive resources and consumer preferences and the international institutions that affect them.
It seeks to explain the patterns and consequences of transactions and interactions between the inhabitants of different countries, including trade, investment and transaction.An international journal devoted ebook the latest advances in economic tendency and business cycle research Offers comprehensive insights into research related to short- to medium-term economic growth Presents technical reports on latest economic indicators and forecasting methodologies.