Foreign portfolio diversification and risk-sharing |
| |
| Authors: | F Balli FM Pericoli E Pierucci |
| |
| Institution: | 1. School of Economics and Finance, Massey University, Private Bag 11 222, Palmerston North, New Zealand;2. Department of International Trade and Marketing, Gediz University Izmir, Turkey;3. Italian Ministry of Economy and Finance, Via XX Settembre 97, 00187 Roma, Italy;4. University of Basilicata, Via dell’Ateneo Lucano 10, 85100 Potenza, Italy |
| |
| Abstract: | We investigate income smoothing associated with international portfolio diversification by decomposing the net factor income (NFI) channel into interests, dividends and retained earnings, for OECD and EU countries. We find that interest receipts and equity dividend payments contribute significantly to absorb domestic income shocks. Geographically concentrated portfolios and, in particular, biases toward EU markets have a strong negative effect on the degree of risk-sharing. |
| |
| Keywords: | F36 F4 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
