| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23175 |
| 来源ID | Working Paper 23175 |
| Currency Matters: Analyzing International Bond Portfolios | |
| John D. Burger; Francis E. Warnock; Veronica Cacdac Warnock | |
| 发表日期 | 2017-02-20 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is largely absent from analyses of cross-border investment in debt securities. This omission owes in part to the limitations of widely used datasets such as the IMF’s CPIS data (on positions) and its BOP data (on flows): Neither identifies the currency denomination of the underlying bonds and both combine bonds of various currencies in a single data point. In this paper we show that bonds denominated in the investor’s currency are special. We show this indirectly in a global dataset of bilateral bond holdings—indirectly because the global holdings dataset does not differentiate by currency denomination—and then more directly in datasets of US holdings of foreign bonds that do differentiate by currency. We find that the share of a country’s bonds denominated in investors’ currencies is an important determinant of the amount of cross-border investment it receives; factors associated with greater (or less) cross-border investment in bonds differ by currency denomination; and one phenomenon of international portfolios—the ever-present home bias—in some cases actually disappears when bonds are denominated in the investor’s currency, suggesting that the home bias is to some extent a home currency bias. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w23175 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580848 |
| 推荐引用方式 GB/T 7714 | John D. Burger,Francis E. Warnock,Veronica Cacdac Warnock. Currency Matters: Analyzing International Bond Portfolios. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23175.pdf（608KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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