Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/121030
Authors: 
Giofre, Maela
Year of Publication: 
2009
Series/Report no.: 
FIW Working Paper 28
Abstract: 
This paper demonstrates that, after integration, equity portfolios of countries that joined the European Monetary Union have converged at faster rate than those of NON EMU countries. This outcome can be interpreted as a combination of the convergence of inflation rates and the convergence of investment barriers. On the one hand, the common monetary policy might have driven a stronger comovement in inflation rates, leading to increasingly similar hedging strategies among member countries. On the other hand, exposure to the common currency might have homogenized bilateral investment barriers, thus inducing increasingly similar portfolio allocations among member countries. We find that the comovement of inflation rates has not significantly increased after EMU inception, pointing toward an exclusive role for convergence in investment barriers.
Subjects: 
financial integration
EMU
inflation hedging
investment barriers
JEL: 
F21
F30
F36
G11
G15
Document Type: 
Working Paper

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