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Asset allocation and risk taking under different interest rate regimes
Hermans, Lieven; Kostka, Thomas; Vassallo, Danilo - 2023
We study the effects of low short-term interest rates on the optimal portfolio allocation in Markowitz portfolios and Risk parity portfolios. We propose a measure of Portfolio Instability, gauging the amount of optimal portfolio shifts needed to respond to exogenous shocks to the expected risk...
Persistent link: https://www.econbiz.de/10014374591
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Finance and Diversification
Manganelli, Simone - 2010
We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...
Persistent link: https://www.econbiz.de/10013136834
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Household's Portfolio Structure in Germany - Analysis of Financial Accounts Data 1959-2009
Ramb, Fred - 2011
Based on a Financial Almost Ideal Demand System (FAIDS), this paper investigates the wealth structure of German households. The long-run wealth elasticities and interest rate elasticities were calculated using a unique new quarterly financial accounts macro data set which covers the period from...
Persistent link: https://www.econbiz.de/10013124189
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Who Invests in Home Equity to Exempt Wealth from Bankruptcy?
Corradin, Stefano - 2011
Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios towards home equity. Using US household data from the Survey of Income...
Persistent link: https://www.econbiz.de/10013126001
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Optimal Portfolio Choice with Predictability in House Prices and Transaction Costs
Corradin, Stefano - 2012
We generalize the classic Grossman and Laroque (1990) (GL) model of optimal portfolio choice with housing and transaction costs by introducing predictability in house prices. As in the GL model, agents only move to more expensive (cheaper) houses when their wealth-to-housing ratios reach an...
Persistent link: https://www.econbiz.de/10013100578
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
worldwide, while they had muted impact on yields across countries. Yet Fed policies functioned in a procyclical manner for … announcements, underlining the importance of the market repair and liquidity functions of Fed policies. Third, we find no evidence … that FX or capital account policies helped countries shield themselves from these US policy spillovers, but rather that …
Persistent link: https://www.econbiz.de/10013081463
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Home Bias in Bank Sovereign Bond Purchases and the Bank-Sovereign Nexus
Andreeva, Desislava - 2017
We study whether a pre-existing link between bank and sovereign credit risk biased euro area banks' sovereign debt portfolio choices during 2011Q4 and 2012Q1 - a period of exceptional increases in their domestic sovereign bond holdings. We find that banks whose creditworthiness is linked to that...
Persistent link: https://www.econbiz.de/10012963945
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The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Craig, Ben R. - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10012838336
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Domestic and External Sectoral Portfolios : Network Structure and Balance-Sheet Contagion
Heipertz, Jonas - 2018
This paper uses a unique comprehensive database on French security assets and liabilities to study the dynamics of domestic and external sectoral portfolios, their network structure, and their role in the propagation of shocks. We first show how the sharp deterioration of the net external...
Persistent link: https://www.econbiz.de/10012906433
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Risky Assets in Europe and the US : Risk Vulnerability, Risk Aversion and Economic Environment
Bekhtiar, Karim - 2019
We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive as well as the intensive margin of risky assets, European households differ substantially from US households; but also inside Europe we document substantial differences....
Persistent link: https://www.econbiz.de/10012871885