European business cycle convergence : portfolio similarity and a declining home bias of private investors / / Jennifer Schneider

• Record Nr.: UNINA9910297051103321
• Autore: Schneider Jennifer
• Pubbl/distr/stampa: Frankfurt am Main, [Germany] : , : PL Academic Research, , 2013; ©2013
• ISBN: 3-653-01915-X
• Descrizione fisica: 1 online resource (223 p.)
• Collana: Hohenheimer volkswirtschaftliche Schriften, , 0721-3085 ; ; Band 69
• Disciplina: 330.94
• Soggetti: Business cycles - Europe; Monetary unions - Europe; Europe Economic integration
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Cover; Preface; Content; Tables; Graphs; Abbreviations; Variables; A. Introduction; 1. Motivation; B. Theoretical and Empirical Background; 2. Business Cycle Convergence and Consumption; 2.1 Optimal Currency Area Criteria; 2.2 Financial Market Integration and Business Cycle Convergence; 2.3 Consumption; 2.3.1 Consumption Function; 2.3.2 Consumption-wealth-linkage; 2.3.3 A Side Note on Financial Systems and Monetary Policy Transmission; 2.4 The Context of Consumption and Business Cycles; 3. Portfolio Theory; 3.1 Motivation; 3.2 Basics of Modern Portfolio Theory; 3.2.1 Core Elements of Portfolio Theory 3.2.2 The Efficient Frontier; 3.2.3 The Single Index Model; 3.3 Capital Asset Pricing Model; 3.3.2 The Standard Model; 3.3.3 Shortcomings of the Standard CAPM; 3.3.4 Empirical Findings; 3.4 International Asset Pricing Model and the Home Bias Phenomenon; 3.4.2 IAPM; 3.4.3 Home Bias - Empirical Background; 3.4.4 Explaining Home Bias; 3.4.4.1 Rational Explanations; 3.4.4.2 Behavioural Finance; 3.5 IAPM - A Plausible Starting Point?; C. Empirical Analysis; 4. Home Bias - Status quo in Europe; 4.1 Development of Private Financial Wealth; 4.2 Development of Foreign Investment 4.3 Calculation of Home Bias; 4.4 Status quo of Home Bias; 4.5 The Market Portfolio as the Ideal Portfolio; 4.6 Return on Investment of the Country Strategies; 4.7 ; Volatility of Return; 4.8 Contribution of Portfolio Returns to Consumption Convergence; 4.9 Concluding Remarks; 5. Similarity of Portfolios in Europe; 5.1 Calculation; 5.2 Results; 5.3 Portfolio Similarity and Home Bias; 6. Consumption and Business Cycle Correlation; 6.1 Data and Estimation Method; 6.2 Results/Correlations Coefficients; 6.3 Summary of Results for Portfolio Similarity and Correlation 7. Model; 7.1 General Outline and Variables; 7.2 Econometric Model; 7.2.1 Formal Analysis and Model Specification; 7.2.2 Approach; 7.2.3 Consumption Correlation; 7.2.4 GDP Correlation; 7.2.5 Two-stage Least-squares and General Method of Moments; 7.2.5.1 Model; 7.2.5.2 Results; 7.2.6 Summary; D. Political Implications and Summary; 8. Political Implications; 8.1 Reasons for Political Actions; 8.2 Reasons for Portfolio Dissimilarity; 8.3 Solutions Discussed in Literature; 8.4 Current Political Discussion of Solutions; 8.5 Target Group for Measurements 9. Summary; 9.1 Hypothesis 1; 9.2 Hypothesis 2; 9.3 Hypothesis 3; 9.4 Hypothesis 4; 9.5 Hypothesis 5; 9.6 Hypothesis 6; 9.7 Hypothesis 7; 9.8 Outlook; References; Data Appendices
• Sommario/riassunto: Is the euro area getting closer with regard to business cycles? The study investigates the linkage between business cycle convergence and financial portfolio choice for a panel of 18 European countries. For this purpose an index is constructed which measures the similarity of investment portfolios. The idea is that financial portfolio choice has an impact on business cycles and contributes to convergence via the consumption-wealth linkage. The background of the analysis is the International Asset Pricing Model (IAPM). The results of fixed effects GMM TSLS estimations confirm the linkage. The e