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Essays on International Asset Allocation and Pricing.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays on International Asset Allocation and Pricing./
作者:	Kim, Kyungkeun.
面頁冊數:	1 online resource (116 pages)
附註:	Source: Dissertation Abstracts International, Volume: 78-01(E), Section: A.
Contained By:	Dissertation Abstracts International78-01A(E).
標題:	Economic theory. -
電子資源:	click for full text (PQDT)
ISBN:	9781339940168

Essays on International Asset Allocation and Pricing.
Kim, Kyungkeun.

Essays on International Asset Allocation and Pricing. - 1 online resource (116 pages)

Source: Dissertation Abstracts International, Volume: 78-01(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

This item is not available from ProQuest Dissertations & Theses.

My dissertation studies financial asset allocation and pricing in open economy framework. In the first chapter, I investigate why countries with more flexible exchange rate policies tend to hold more domestic bonds in their portfolios. First, I show that fewer domestic bond holdings under a pegged regime than under a floating regime is mainly because international bond position cannot hedge against real shocks when the exchange rate is pegged. Therefore, exchange rate regimes are non-neutral for asset holdings through changing the hedging characteristics of nominal assets. Second, I show that, under a floating regime, more domestic bond holdings by countries with more volatile nominal exchange rates can be explained by more volatile real shocks. I develop a two country DSGE model with endogeneous portfolio choice in which nominal bonds are traded internationally and exchange rate regimes are characterized by interest rate rules. In the second chapter, I investigate how international equity mutual funds allocate their portfolios across countries and what factors determine their asset allocation decisions using micro-level data on mutual funds. I find that equity fund managers are actively engaged in a rebalancing strategy to manage their global portfolios and the motive behind this action is more related to equity market risk rather than to currency risk. I also show that the fund managers' degree of rebalancing is larger in times of higher global uncertainty and in equity markets that exhibit a stronger correlation with the global market, implying that global risk has asymmetric effect on international asset allocation. In the third chapter, I expand a closed economy macro-finance model with a recursive preference into an open economy model, to better understand the determinants and co-movement of term premia across countries. I find that term premia are lower in an open economy setup than in a closed economy setup due to increased risk sharing across countries. In addition, I show that both underlying shocks and stochastic volatility shocks have to be highly correlated across countries to explain the cross-country co-movement of term premia, whereas the co movement of yield spreads is more driven by correlated policy expectations rather than by correlated term premia. I build a two-country DSGE model with the Epstein-Zin preference and stochastic volatility shocks. The third chapter, as well as the second chapter, emphasizes the role of global common risk in an open economy.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781339940168Subjects--Topical Terms:

809881
Economic theory.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on International Asset Allocation and Pricing.
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500 $a Source: Dissertation Abstracts International, Volume: 78-01(E), Section: A.
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504 $a Includes bibliographical references
506 $a This item is not available from ProQuest Dissertations & Theses.
520 $a My dissertation studies financial asset allocation and pricing in open economy framework. In the first chapter, I investigate why countries with more flexible exchange rate policies tend to hold more domestic bonds in their portfolios. First, I show that fewer domestic bond holdings under a pegged regime than under a floating regime is mainly because international bond position cannot hedge against real shocks when the exchange rate is pegged. Therefore, exchange rate regimes are non-neutral for asset holdings through changing the hedging characteristics of nominal assets. Second, I show that, under a floating regime, more domestic bond holdings by countries with more volatile nominal exchange rates can be explained by more volatile real shocks. I develop a two country DSGE model with endogeneous portfolio choice in which nominal bonds are traded internationally and exchange rate regimes are characterized by interest rate rules. In the second chapter, I investigate how international equity mutual funds allocate their portfolios across countries and what factors determine their asset allocation decisions using micro-level data on mutual funds. I find that equity fund managers are actively engaged in a rebalancing strategy to manage their global portfolios and the motive behind this action is more related to equity market risk rather than to currency risk. I also show that the fund managers' degree of rebalancing is larger in times of higher global uncertainty and in equity markets that exhibit a stronger correlation with the global market, implying that global risk has asymmetric effect on international asset allocation. In the third chapter, I expand a closed economy macro-finance model with a recursive preference into an open economy model, to better understand the determinants and co-movement of term premia across countries. I find that term premia are lower in an open economy setup than in a closed economy setup due to increased risk sharing across countries. In addition, I show that both underlying shocks and stochastic volatility shocks have to be highly correlated across countries to explain the cross-country co-movement of term premia, whereas the co movement of yield spreads is more driven by correlated policy expectations rather than by correlated term premia. I build a two-country DSGE model with the Epstein-Zin preference and stochastic volatility shocks. The third chapter, as well as the second chapter, emphasizes the role of global common risk in an open economy.
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538 $a Mode of access: World Wide Web
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