Arbeitspapier
Cross-Boarder Diversification in Bank Asset Portfolios
Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks from 1995-1999 and try to explain the deviations. We find that banks over-invest domestically to a considerable extent and that cross-border diversification entails considerable gain. Banks underweight countries which are culturally less similar or have capital controls in place. Capital controls have a strong impact on the degree of underinvestment whereas less political risk increases the degree of over-investment.
- ISBN
-
82-7553-255-8
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2004/11
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Portfolio Choice; Investment Decisions
Financial Markets and the Macroeconomy
Macroeconomic Aspects of International Trade and Finance: General
- Thema
-
international banking
portfolio diversification
international integration
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Buch, Claudia M.
Driscoll, John C.
Østergaard, Charlotte
- Ereignis
-
Veröffentlichung
- (wer)
-
Norges Bank
- (wo)
-
Oslo
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Buch, Claudia M.
- Driscoll, John C.
- Østergaard, Charlotte
- Norges Bank
Entstanden
- 2004
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