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Explaining Foreign Holdings of Asia's Debt Securities: The Feldstein-Horioka Paradox Revisited
https://agi.repo.nii.ac.jp/records/101
https://agi.repo.nii.ac.jp/records/101a2474fe9-f7a2-4292-b5ff-d884f08d671a
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
WP2015-16 (992.7 kB)
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| Item type | ワーキングペーパー/Working Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2015-12-08 | |||||
| タイトル | ||||||
| タイトル | Explaining Foreign Holdings of Asia's Debt Securities: The Feldstein-Horioka Paradox Revisited | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Capital asset pricing model | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | cross-border portfolio investments | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | debt securities | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Feldstein-Horioka paradox | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Feldstein-Horioka puzzle | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | foreign debt holdings | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Global Financial Crisis | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | government bonds | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | government securities | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | home bias | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | international capital flows | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | international capital mobility | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | international capital movements | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | safe haven | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | short-term capital movements | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | advanced Asia | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | developed Asia | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | developing Asia | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | non-Japan Asia | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Eurozone | |||||
| キーワード | ||||||
| 言語 | en | |||||
| 主題Scheme | Other | |||||
| 主題 | Japan | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_8042 | |||||
| 資源タイプ | working paper | |||||
| 著者 |
ホリオカ, チャールズ・ユウジ
× ホリオカ, チャールズ・ユウジ× テラダーハギワラ, アキコ× ノモト, タカアキ |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | In this paper, we find that home bias is still present in all economies and regions, especially in the case of short-term debt securities, but that there are substantial variations among economies and regions in the strength of home bias, with the Eurozone economies, the US, and developing Asia showing relatively weak home bias and advanced Asia, especially Japan, showing relatively strong home bias. We then examine trends over time in foreign holdings of debt securities and find that capital has been flowing from the US and the Eurozone economies to both advanced Asia (especially Japan) and developing Asia and that foreign holdings of debt securities have been increasing in advanced as well as developing Asia but for different reasons. The main reason in the case of advanced Asia (especially Japan) appears to be higher risk-adjusted returns, whereas the main reason in the case of developing Asia appears to be the growth of debt securities markets combined with relatively weak home bias and (in the case of short-term securities) lower exchange rate volatility. Finally, we find that since the Global Financial Crisis, foreign holdings of debt securities have declined (i.e., that home bias has strengthened) in all economies and regions except developing Asia, where they have increased (except for a temporary decline in 2008) but where their share is still much lower than the optimal share warranted by the capital asset pricing market model. | |||||
| 言語 | en | |||||
| 書誌情報 |
AGI Working Paper Series 巻 2015-16, p. 1-34, 発行日 2015-11 |
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| 著者版フラグ | ||||||
| 出版タイプ | NA | |||||
| 出版タイプResource | http://purl.org/coar/version/c_be7fb7dd8ff6fe43 | |||||
| JEL分類コード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL classification: F21, F32, F34, F65, G01, G15, O53 | |||||
