文章基本信息
- 标题：The euro as a reserve currency for global investors
- 本地全文：下载
- 作者：Luis M. Viceira ; Ricardo Gimeno
- 期刊名称：Documentos de Trabajo / Banco de España
- 印刷版ISSN：0213-2710
- 电子版ISSN：1579-8666
- 出版年度：2010
- 卷号：1
- 出版社：Banco de España
- 摘要：
In this article, we explore the demand for the euro for risk management purposes, and the evidence of
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stock market integration in the euro area. We define a reserve currency as one that investors demand
either because it helps them hedge real interest risk and inflation risk, or because it helps them reduce
the volatility of their portfolio of stocks and bonds because its return is negatively correlated with
the returns on those assets. This article re-examines the role of the euro as a reserve currency in the
sense of Campbell, Viceira and White (2003), updating their evidence, and reviews the evidence of
Campbell, Serfaty-de Medeiros and Viceira (2010) in detail. Consistent with the intuition that an
integrated capital market is one in which there is a common discount factor pricing securities, we also
investigate whether stocks in the euro area have moved from a regime in which national stock markets were priced with discount rates that were predominantly country specific, to a regime in which national stock markets are predominantly priced by a euro area-wide common discount rate. We adopt the beta decomposition approach of Campbell and Vuolteenaho (2004) and Campbell, Polk and Vuolteenaho (2010) to test for capital market integration, and find robust evidence of increased capital market integration in the euro zone, and consequently improved risk sharing among euro zone economies.
