Cross-border portfolio diversification under trade linkages

• 成果类型: Article
• 署名作者: Khalil, Makram
• 署名单位: Deutsche Bundesbank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.10.001
• 发表日期: 2019
• 页码: 114-128
• 关键词: Cross-border portfolio choice; Equity and debt; Two-country two-goods model; Coordinated Portfolio Investment Survey (CPIS)

摘要

Using the IMF CPIS data on cross-border financial assets, I find that the share of equity in a bilateral portfolio decreases with bilateral trade. Strengthening trade linkages is strongly related to rising holdings of foreign debt but not so to holdings of foreign equity. The results are rationalised by a model of international portfolios in which deepening trade integration increases the exposure of the household consumption basket to deteriorating terms of trade. With rising trade, a sufficiently risk averse representative agent therefore chooses to hold a larger amount of foreign bonds that are well suited to hedge this risk. (C) 2018 Elsevier B.V. All rights reserved.