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Title:Portfolio holdings in the euro area - home bias and the role of international, domestic and sector-specific factors PDF Logo
Authors:Jochem, Axel
Volz, Ute
Issue Date:2011
Series/Report no.:Discussion Paper Series 1: Economic Studies 2011,07
Abstract:This 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.
Subjects:Financial Integration
Home Bias
Institutional Sectors
Financial Crisis
JEL:F30
F32
F36
G11
ISBN:978-3-86558-699-5
Document Type:Working Paper
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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