期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2006
出版社：European Central Bank
摘要：This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for di¤erences in home bias across nancial assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a bias towards domestic nancial assets as well as a stronger home bias for assets with low local currency return volatility. We nd empirical support in favour of this hypothesis for a broad set of industrialised and emerging market countries. Not only is real exchange rate volatility an important factor behind bilateral portfolio home bias, but we nd that a reduction of monthly real exchange rate volatility from its sample mean to zero reduces bond home bias by up to 60 percentage points, while it reduces equity home bias by only 20 percentage points.
关键词：home bias; exchange rate volatility; risk; portfolio investment; global nancial;markets; capital ows.
