The impact of international portfolio composition on consumption risk sharing

Nils Holinski (), Clemens Kool and Joan Muysken ()

Journal of International Money and Finance, 2012, vol. 31, issue 6, 1715-1728

Abstract: Recent empirical work has shown that ongoing international financial integration facilitates cross-country consumption risk sharing. These studies typically find that countries with high equity home bias exhibit relatively low international consumption risk sharing. We extend this line of research and demonstrate that it is not only a country's equity home bias that prevents consumption risk sharing. In addition, the composition of a country's foreign asset portfolio plays an important role. Using panel-data regression for a group of OECD countries over the period 1980–2007, we show that foreign investment bias has additional explanatory power for consumption risk sharing.

Keywords: International financial integration; Foreign investment bias; Geography of international investment; Equity home bias; International portfolio diversification (search for similar items in EconPapers)
JEL-codes: F36 F41 G15 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560612000733
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The Impact of International Portfolio Composition on Consumption Risk Sharing (2011)
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:eee:jimfin:v:31:y:2012:i:6:p:1715-1728

DOI: 10.1016/j.jimonfin.2012.03.008

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().