International Currencies and Capital Allocation

• 成果类型: Article
• 署名作者: Maggiori, Matteo; Neiman, Brent; Schreger, Jesse
• 署名单位: Harvard University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Chicago; Columbia University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/705688
• 发表日期: 2020
• 页码: 2019-2066
• 关键词: home bias; Financial integration; equilibrium-model; external wealth; exchange-rates; debt structure; RISK; transmission; CHOICE; bond

摘要

We establish currency as an important factor shaping global portfolios. Using a new security-level data set, we demonstrate that investor holdings are biased toward their own currencies to such an extent that countries typically hold most of the foreign-debt securities denominated in their currency. While large firms issue in foreign currency and borrow from foreigners, most firms issue only in local currency and do not directly access foreign capital. These patterns hold broadly across countries except for the United States, as foreign investors hold significant shares of US dollar bonds. The share of dollar-denominated cross-border holdings surged after 2008.