(Asymmetric) trade costs, real exchange rate hedging, and equity home bias in a multicountry model
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Pyun, Ju Hyun | - |
dc.date.accessioned | 2021-09-02T12:33:31Z | - |
dc.date.available | 2021-09-02T12:33:31Z | - |
dc.date.created | 2021-06-16 | - |
dc.date.issued | 2018-05 | - |
dc.identifier.issn | 0965-7576 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/76076 | - |
dc.description.abstract | There has been controversy between (two-country) theory and the empirics about whether hedging against real exchange rate fluctuations in the goods market influences foreign equity holdings. This study reconciles the theory with the empirics by introducing a multicountry framework with asymmetric trade costs. We find that the incentive to hold foreign equities to hedge real exchange rate risk is negligible because multiple trade partners act as a hedging channel for real exchange rate fluctuations. Further, our theory calls for a country's covariance-variance ratio to be constructed as the sum of the bilateral covariance-variance ratios of the multiple partners. The empirical analysis of 24 advanced countries confirms the theoretical prediction. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.subject | DIVERSIFICATION | - |
dc.subject | GOODS | - |
dc.title | (Asymmetric) trade costs, real exchange rate hedging, and equity home bias in a multicountry model | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Pyun, Ju Hyun | - |
dc.identifier.doi | 10.1111/roie.12335 | - |
dc.identifier.scopusid | 2-s2.0-85045142856 | - |
dc.identifier.wosid | 000429426800006 | - |
dc.identifier.bibliographicCitation | REVIEW OF INTERNATIONAL ECONOMICS, v.26, no.2, pp.357 - 377 | - |
dc.relation.isPartOf | REVIEW OF INTERNATIONAL ECONOMICS | - |
dc.citation.title | REVIEW OF INTERNATIONAL ECONOMICS | - |
dc.citation.volume | 26 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 357 | - |
dc.citation.endPage | 377 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | DIVERSIFICATION | - |
dc.subject.keywordPlus | GOODS | - |
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