Buch, Claudia M.
[VerfasserIn]
;
Driscoll, John C.
[Sonstige Person, Familie und Körperschaft];
Ostergaard, Charlotte
[Sonstige Person, Familie und Körperschaft]
Cross-Border Diversification in Bank Asset Portfolios
Anmerkungen:
In: International Finance, Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 5, 2009 erstellt
Beschreibung:
We compute optimally diversified international asset portfolios for banks located in France, Germany, Italy, the U.K., and the U.S., using the mean-variance portfolio model with currency hedging. We compare these benchmark portfolios to the actual cross-border asset positions of banks from 1995-2003 and ask whether the differences are best explained by regulations, institutions, cultural conditions, or other financial frictions. Our results suggest that both culture and regulations affect the probability of a country being overweighted in banks' portfolios: countries whose residents score higher on a survey measure of trust are more likely to be overweighted, while countries that have tighter capital controls are less likely. From a policy standpoint, the importance of culture suggests a limit to the degree of financial integration that may be achieved by the removal of formal economic barriers