| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6996 |
| DP6996 Capital Flow Bonanzas: An Encompassing View of the Past and Present | |
| Vincent Reinhart; Carmen Reinhart | |
| 发表日期 | 2008-10-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | Using a new dataset on capital account openness, we investigate why equity return correlations changed over the last century. Based on a new, long-run dataset on capital account regulations in a group of 16 countries over the period 1890-2001, we show that correlations increase as financial markets are liberalized. These findings are robust to controlling for both the Forbes-Rigobon bias and global averages in equity return correlations. We test the robustness of our conclusions, and show that greater synchronization of fundamentals is not the main cause of increasing correlations. These results imply that the home bias puzzle may be smaller than traditionally claimed. |
| 主题 | International Macroeconomics |
| 关键词 | Diversification Equity return correlations Home bias |
| URL | https://cepr.org/publications/dp6996 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535851 |
| 推荐引用方式 GB/T 7714 | Vincent Reinhart,Carmen Reinhart. DP6996 Capital Flow Bonanzas: An Encompassing View of the Past and Present. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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