European business cycle convergence portfolio similarity and a declining home bias of private investors
Is the euro area getting closer with regard to business cycles? The study investigates the linkage between business cycle convergence and financial portfolio choice for a panel of 18 European countries. For this purpose an index is constructed which measures the similarity of investment portfolios....
| Main Author: | |
|---|---|
| Format: | Thesis |
| Language: | Inglés |
| Published: |
Bern
Peter Lang International Academic Publishing Group
2013
Frankfurt am Main, [Germany] : 2013. |
| Series: | Hohenheimer volkswirtschaftliche Schriften ;
Bd. 69. |
| Subjects: | |
| See on Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009422484506719 |
Table of Contents:
- Cover; Preface; Content; Tables; Graphs; Abbreviations; Variables; A. Introduction; 1. Motivation; B. Theoretical and Empirical Background; 2. Business Cycle Convergence and Consumption; 2.1 Optimal Currency Area Criteria; 2.2 Financial Market Integration and Business Cycle Convergence; 2.3 Consumption; 2.3.1 Consumption Function; 2.3.2 Consumption-wealth-linkage; 2.3.3 A Side Note on Financial Systems and Monetary Policy Transmission; 2.4 The Context of Consumption and Business Cycles; 3. Portfolio Theory; 3.1 Motivation; 3.2 Basics of Modern Portfolio Theory
- 3.2.1 Core Elements of Portfolio Theory 3.2.2 The Efficient Frontier; 3.2.3 The Single Index Model; 3.3 Capital Asset Pricing Model; 3.3.2 The Standard Model; 3.3.3 Shortcomings of the Standard CAPM; 3.3.4 Empirical Findings; 3.4 International Asset Pricing Model and the Home Bias Phenomenon; 3.4.2 IAPM; 3.4.3 Home Bias - Empirical Background; 3.4.4 Explaining Home Bias; 3.4.4.1 Rational Explanations; 3.4.4.2 Behavioural Finance; 3.5 IAPM - A Plausible Starting Point?; C. Empirical Analysis; 4. Home Bias - Status quo in Europe; 4.1 Development of Private Financial Wealth
- 4.2 Development of Foreign Investment 4.3 Calculation of Home Bias; 4.4 Status quo of Home Bias; 4.5 The Market Portfolio as the Ideal Portfolio; 4.6 Return on Investment of the Country Strategies; 4.7 Volatility of Return; 4.8 Contribution of Portfolio Returns to Consumption Convergence; 4.9 Concluding Remarks; 5. Similarity of Portfolios in Europe; 5.1 Calculation; 5.2 Results; 5.3 Portfolio Similarity and Home Bias; 6. Consumption and Business Cycle Correlation; 6.1 Data and Estimation Method; 6.2 Results/Correlations Coefficients
- 6.3 Summary of Results for Portfolio Similarity and Correlation 7. Model; 7.1 General Outline and Variables; 7.2 Econometric Model; 7.2.1 Formal Analysis and Model Specification; 7.2.2 Approach; 7.2.3 Consumption Correlation; 7.2.4 GDP Correlation; 7.2.5 Two-stage Least-squares and General Method of Moments; 7.2.5.1 Model; 7.2.5.2 Results; 7.2.6 Summary; D. Political Implications and Summary; 8. Political Implications; 8.1 Reasons for Political Actions; 8.2 Reasons for Portfolio Dissimilarity; 8.3 Solutions Discussed in Literature; 8.4 Current Political Discussion of Solutions
- 8.5 Target Group for Measurements 9. Summary; 9.1 Hypothesis 1; 9.2 Hypothesis 2; 9.3 Hypothesis 3; 9.4 Hypothesis 4; 9.5 Hypothesis 5; 9.6 Hypothesis 6; 9.7 Hypothesis 7; 9.8 Outlook; References; Data Appendices
