European business cycle convergence: portfolio similarity and a declining home bias of private investors
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Frankfurt am Main
Lang
2013
|
| Series: | Hohenheimer volkswirtschaftliche Schriften
69 |
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | 218 S. graph. Darst., Kt. |
| ISBN: | 9783631639740 |
Staff View
MARC
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IMAGE 1
CONTENT
TABLES 11
GRAPHS 13
ABBREVIATIONS 15
VARIABLES 17
A. INTRODUCTION 19
1. MOTIVATION 19
B. THEORETICAL AND EMPIRICAL BACKGROUND 23
2. BUSINESS CYCLE CONVERGENCE AND CONSUMPTION 23
2.1 OPTIMAL CURRENCY AREA CRITERIA 23
2.2 FINANCIAL MARKET INTEGRATION AND BUSINESS CYCLE CONVERGENCE 25 2.3
CONSUMPTION 2 9
2.3.1 CONSUMPTION FUNCTION 29
2.3.2 CONSUMPTION-WEALTH-LINKAGE 31
2.3.3 A SIDE NOTE ON FINANCIAL SYSTEMS AND MONETARY POLICY TRANSMISSION
35
2.3 THE CONTEXT O F CONSUMPTION AND BUSINESS CYCLES 38
3. PORTFOLIO THEORY 3 9
3.1 MOTIVATION 39
3.2 BASICS O F MODERN PORTFOLIO THEORY 41
3.2.1 CORE ELEMENTS O F PORTFOLIO THEORY 41
3.2.2 THE EFFICIENT FRONTIER 44
3.2.3 THE SINGLE INDEX MODEL 4 7
3.3 CAPITAL ASSET PRICING MODEL 4 9
3.3.2 THE STANDARD MODEL 4 9
3.3.3 SHORTCOMINGS O F THE STANDARD CAPM 52
3.3.4 EMPIRICAL FINDINGS 53
3.4 INTERNATIONAL ASSET PRICING MODEL AND THE HOME BIAS PHENOMENON 55
7
HTTP://D-NB.INFO/1031827102
IMAGE 2
3.4.2 IAPM 55
3.4.3 HOME BIAS - EMPIRICAL BACKGROUND 57
3.4.4 EXPLAINING HOME BIAS 6 0
3.4.4.1 RATIONAL EXPLANATIONS 6 0
3.4.4.2 BEHAVIOURAL FINANCE 62
3.5 IAPM - A PLAUSIBLE STARTING POINT? 65
C. EMPIRICAL ANALYSIS 69
4. HOME BIAS - STATUS QUO IN EUROPE 70
4.1 DEVELOPMENT O F PRIVATE FINANCIAL WEALTH 70
4.2 DEVELOPMENT O F FOREIGN INVESTMENT 75
4.3 CALCULATION O F HOME BIAS 83
4.4 STATUS QUO O F HOME BIAS 87
4.5 THE MARKET PORTFOLIO AS THE IDEAL PORTFOLIO 90
4.6 RETURN ON INVESTMENT O F THE COUNTRY STRATEGIES 95
4.7 VOLATILITY O F RETURN 100
4.8 CONTRIBUTION O F PORTFOLIO RETURNS TO CONSUMPTION CONVERGENCE .103
4.9 CONCLUDING REMARKS 106
5. SIMILARITY O F PORTFOLIOS IN EUROPE 107
5.1 CALCULATION 108
5.2 RESULTS 110
5.3 PORTFOLIO SIMILARITY AND HOME BIAS 114
6. CONSUMPTION AND BUSINESS CYCLE CORRELATION 119
6.1 DATA AND ESTIMATION METHOD 119
6.2 RESULTS / CORRELATIONS COEFFICIENTS 121
6.3 SUMMARY O F RESULTS FOR PORTFOLIO SIMILARITY AND CORRELATION 124 7.
MODEL 129
7.1 GENERAL OUTLINE AND VARIABLES 129
7.2 ECONOMETRIC MODEL 134
7.2.1 FORMAL ANALYSIS AND MODEL SPECIFICATION 134
7.2.2 APPROACH 138
7.2.3 CONSUMPTION CORRELATION 141
7.2.4 GDP CORRELATION 143
7.2.5 TWO-STAGE LEAST-SQUARES AND GENERAL METHOD O F MOMENTS 144
7.2.5.1 MODEL 144
7.2.5.2 RESULTS 148
7.2.6 SUMMARY 152
8
IMAGE 3
D. POLITICAL IMPLICATIONS AND SUMMARY 157
8. POLITICAL IMPLICATIONS 157
8.1 REASONS FOR POLITICAL ACTIONS 157
8.2 REASONS FOR PORTFOLIO DISSIMILARITY 159
8.3 SOLUTIONS DISCUSSED IN LITERATURE 160
8.4 CURRENT POLITICAL DISCUSSION O F SOLUTIONS 161
8.5 TARGET GROUP FOR MEASUREMENTS 164
9. SUMMARY 167
9.1 HYPOTHESIS 1 168
9.2 HYPOTHESIS 2 168
9.3 HYPOTHESIS 3 170
9.4 HYPOTHESIS 4 170
9.5 HYPOTHESIS 5 171
9.6 HYPOTHESIS 6 171
9.7 HYPOTHESIS 7 172
9.8 OUTLOOK 173
REFERENCES 175
DATA APPENDICES 185
9 |
| any_adam_object | 1 |
| author | Schneider, Jennifer |
| author_facet | Schneider, Jennifer |
| author_role | aut |
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| building | Verbundindex |
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| classification_rvk | QN 200 |
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| dewey-full | 332.6094 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6094 |
| dewey-search | 332.6094 |
| dewey-sort | 3332.6094 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Schneider, Jennifer Verfasser aut European business cycle convergence portfolio similarity and a declining home bias of private investors Jennifer Schneider Frankfurt am Main Lang 2013 218 S. graph. Darst., Kt. txt rdacontent n rdamedia nc rdacarrier Hohenheimer volkswirtschaftliche Schriften 69 Zugl.: Hohenheim, Univ., Diss., 2011 Europäische Union (DE-588)5098525-5 gnd rswk-swf Mitgliedsstaaten (DE-588)4170174-4 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Konvergenz (DE-588)4032326-2 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Europäische Union (DE-588)5098525-5 b Mitgliedsstaaten (DE-588)4170174-4 s Konjunkturzyklus (DE-588)4032134-4 s Konvergenz (DE-588)4032326-2 s Investition (DE-588)4027556-5 s Portfolio Selection (DE-588)4046834-3 s DE-604 Hohenheimer volkswirtschaftliche Schriften 69 (DE-604)BV000005640 69 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=4267288&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025952948&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schneider, Jennifer European business cycle convergence portfolio similarity and a declining home bias of private investors Hohenheimer volkswirtschaftliche Schriften Europäische Union (DE-588)5098525-5 gnd Mitgliedsstaaten (DE-588)4170174-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Konvergenz (DE-588)4032326-2 gnd Investition (DE-588)4027556-5 gnd Konjunkturzyklus (DE-588)4032134-4 gnd |
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| title | European business cycle convergence portfolio similarity and a declining home bias of private investors |
| title_auth | European business cycle convergence portfolio similarity and a declining home bias of private investors |
| title_exact_search | European business cycle convergence portfolio similarity and a declining home bias of private investors |
| title_full | European business cycle convergence portfolio similarity and a declining home bias of private investors Jennifer Schneider |
| title_fullStr | European business cycle convergence portfolio similarity and a declining home bias of private investors Jennifer Schneider |
| title_full_unstemmed | European business cycle convergence portfolio similarity and a declining home bias of private investors Jennifer Schneider |
| title_short | European business cycle convergence |
| title_sort | european business cycle convergence portfolio similarity and a declining home bias of private investors |
| title_sub | portfolio similarity and a declining home bias of private investors |
| topic | Europäische Union (DE-588)5098525-5 gnd Mitgliedsstaaten (DE-588)4170174-4 gnd Portfolio Selection (DE-588)4046834-3 gnd Konvergenz (DE-588)4032326-2 gnd Investition (DE-588)4027556-5 gnd Konjunkturzyklus (DE-588)4032134-4 gnd |
| topic_facet | Europäische Union Mitgliedsstaaten Portfolio Selection Konvergenz Investition Konjunkturzyklus Hochschulschrift |
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