Convergence of EMU Equity Portfolios

Maela Giofre' ()

No 88, CeRP Working Papers from Center for Research on Pensions and Welfare Policies, Turin (Italy)

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.

Keywords: Financial integration; EMU; inflation hedging; investment barrier (search for similar items in EconPapers)
JEL-codes: F21 F30 F36 G11 G15 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2009-07
New Economics Papers: this item is included in nep-cba, nep-eec and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.cerp.carloalberto.org/wp-content/uploads/2009/07/wp_88.pdf?f6fa34 (application/pdf)

Related works:
Journal Article: Convergence of EMU Equity Portfolios (2012)
Working Paper: Convergence of EMU Equity Portfolios (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crp:wpaper:88

Access Statistics for this paper

More papers in CeRP Working Papers from Center for Research on Pensions and Welfare Policies, Turin (Italy) Contact information at EDIRC.
Bibliographic data for series maintained by Silvia Maero ().