Newton meets Van Leeuwenhoek: Identifying international investors’ common currency preferences

Martijn Boermans and Robert Vermeulen

Finance Research Letters, 2016, vol. 17, issue C, 62-65

Abstract: Using a novel security-by-security dataset, this paper distinguishes investor preferences for euro-denominated debt securities from investor preferences for debt securities issued by euro area residents. We estimate a gravity model and show that investors have a preference for securities in their home country and countries close to their home country. Furthermore, investors have a strong preference for holding debt securities denominated in euros. Whether a security is issued by a euro area resident or a non-euro area resident is of secondary importance. These results are important for the literature on international investment positions for identifying investors’ currency preferences.

Keywords: International portfolio choice; Gravity model; Euro currency; Securities holdings statistics (search for similar items in EconPapers)
JEL-codes: F15 F21 F36 F41 G11 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:62-65

DOI: 10.1016/j.frl.2016.01.005

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