Convergence of EMU Equity Portfolios
Maela Giofre' ()
No 28, FIW Working Paper series from FIW
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 barriers (search for similar items in EconPapers)
JEL-codes: F21 F30 F36 G11 G15 (search for similar items in EconPapers)
Pages: 33
Date: 2009-02
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
http://www.fiw.ac.at/fileadmin/Documents/Publikati ... per/N_028-giofre.pdf full text (application/pdf)
none
Related works:
Journal Article: Convergence of EMU Equity Portfolios (2012) 
Working Paper: Convergence of EMU Equity Portfolios (2009) 
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:wsr:wpaper:y:2009:i:028
Ordering information: This working paper can be ordered from
FIW Project Office Austrian Institute of Economic Research Arsenal Objekt 20 A-1030 Vienna
Access Statistics for this paper
More papers in FIW Working Paper series from FIW
Bibliographic data for series maintained by ().