Currency matters: Analyzing international bond portfolios

• 成果类型: Article
• 署名作者: Burger, John D.; Warnock, Francis E.; Warnock, Veronica Cacdac
• 署名单位: Loyola University Maryland; University of Virginia; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2018.08.001
• 发表日期: 2018
• 页码: 376-388
• 关键词: home bias; International bonds; International investment

摘要

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. (C) 2018 Elsevier B.V. All rights reserved.