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：Using bilateral data on international equity and bond ows, we nd that the prediction of the International Capital Asset Pricing Model is partially met and that global equity markets might be more integrated than global bond markets. Moreover, over the turbulent 1998-2001 period characterised by an equity bubble and the subsequent burst, we nd evidence that investors preferred portfolio assets of countries where the central bank gave relative importance to money. As for EMU, once controlling for diversi cation bene ts and the elimination of the exchange rate risk, we show that cross-border portfolio ows among euro area countries have increased due to the catalyst e¤ect of EMU. Countrys shares in the world market portfolio, home bias, initial degree of misallocation across countries, past returns, diversi cation bene ts and EMU can explain 35-40% of the total variation in equity and bond asset ows
关键词：Capital ows - Home bias - Risk diversi cation - EMU - Monetary;policy
