Diversification, original sin, and international bond portfolios by John D. Burger

Cover of: Diversification, original sin, and international bond portfolios | John D. Burger

Published by Federal Reserve Board in Washington, D.C .

Written in English

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Edition Notes

Book details

StatementJohn D. Burger and Francis E. Warnock.
SeriesInternational finance discussion papers ;, no. 755, International finance discussion papers (Online) ;, no. 755.
ContributionsWarnock, Francis E.
Classifications
LC ClassificationsHG3879
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL3390380M
LC Control Number2004620052

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International Finance Discussion Papers: Diversification, Original Sin, and International Bond Portfolios [Burger, John D., Warnock, Francis E., United States Federal Reserve Board] on *FREE* shipping on qualifying offers.

International Finance Discussion Papers: Diversification, Original Sin, and International Bond PortfoliosAuthors: John D. Burger, Francis E. Warnock.

Downloadable. This paper has two main goals: to analyze country allocations in international bond portfolios and to describe the development of bond markets around the world.

In the primary analysis, we find that country weights in U.S. investors' foreign bond portfolios are determined by the openness of capital Diversification and potential diversification benefits. Diversification, Original Sin, and International Bond Portfolios John D.

Burger and Francis E. Warnock * Abstract: This paper has two main goals: to analyze country allocations in international bond portfolios and to describe the development of bond markets around the.

Request PDF | Diversification, Original Sin, and International Bond Portfolios | This paper has two main goals: to analyze country allocations in international bond portfolios and to describe the.

Diversification, Original Sin, and International Bond Portfolios. BibTeX @MISC{Burger02diversification,original, author = {John D. Burger and Francis E. Warnock and John D. Burger and Francis E. Warnock}, title = {Diversification, original sin and international bond portfolios}, year = {}}.

Diversification, original sin, and international bond portfolios. By John D. Burger and Francis E. Warnock. Abstract. This paper has two main goals: to analyze country allocations in international bond portfolios and to describe the development of bond markets around the world.

In the primary analysis, we Diversification that country weights in U.S Author: John D. Burger and Francis E. Warnock. evidence of the potential diversification benefits of adding both U.S.

and international bonds to a portfolio of Canadian bonds. 2 Correlation of monthly changes in each country’s year government bond yield to the change in the year Canadian government bond yield, January through November ().

International bond diversification strategies: the impact of currency, country, and credit risk. The European Journal of Finance: Vol. 15, ASSET MANAGEMENT AND INTERNATIONAL CAPITAL MARKETS 29th–30th MAYFRANKFURT AM MAIN, pp.

Diversification, Original Sin, and International Bond Portfolios. International Finance Discussion Paper No. Federal Reserve Board, Washington, D.C. Burgess, Robin y Rohini Pande. ly, the "sluggish" international bond portfolios.

appear to outperform the "high-flying" stock. portfolios. of international diversification, investors still. Diversification benefits for bond portfolios. The European Journal of Finance: Vol. 15, ASSET MANAGEMENT AND INTERNATIONAL CAPITAL MARKETS 29th–30th MAYFRANKFURT AM MAIN, pp.

Austin. Pacific Investment Management Company LLC Congress Ave, Ste Austin, TX TEL: +1   If you hold a well-diversified portfolio of bond ETFs, your bonds will most likely be diversified in several dimensions: quality, geography, maturity, and duration.

Each of these dimensions helps bond ETFs to insulate against the deleterious effect of a rate increase on bond value. Quality Diversification. IFDP#, “Diversification, Original Sin, and International Bond Portfolios.” The authors thank seminar participants at Trinity College International Bond and Debt Market Integration Conference, Darden Conference on Investing in Emerging Markets, CEPR/Gerzensee Conference on.

Downloadable (with restrictions). The paper develops a general equilibrium theory of the optimal currency composition of international bond portfolios. Like the partial equilibrium portfolio balance literature of the s, the theory emphasizes the critical roles of government debt and government balance sheet operations in the determination of portfolios, prices and allocations.

Burger, J., and Warnock, F., Diversification, Original Sin, and International Bond Portfolios, International Finance Discussion Paper no.Board of Governors of the Federal Reserve System Buy this book on publisher's site; Personalised recommendations. Cite chapter. Diversification, Original Sin, and International Bond Portfolios.

FRB International Finance Discussion Paper No. Number of pages: 38 Posted: 23 Mar home bias, emerging market debt, diversification, original sin. Local Currency Bond Markets. Downloads (,) Citation 2 Local Currency Bond Markets. IFDP#, “Diversification, Original Sin, and International Bond Portfolios.” The authors thank William Griever, Thomas Jans, and Denis Petre for invaluable assistance with data; JP Morgan for providing data on bond returns; and Jillian Faucette, Tamara Hayford, and Sara Holland for research assistance.

Another, more recent study on diversification benefits for bond portfolios is the paper by Dbouk and Kryzanowski (). The authors examine the minimum portfolio size required to capture significant diversification benefits differentiating the investment opportunity.

Diversification, original sin, and international bond portfolios International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (47) Journal Articles The symmetry and cyclicality of R&D spending in advanced economies. International Economics (), p.

The inTroducTion of emerging currencies inTo a porTfolio: Towards a more compleTe diversificaTion model Sophie Brana & Stéphanie Prat1 Article received on Septem Accepted on Ap AbstrAct. We have drawn on portfolio theory and international diversification in order to.

The paper is organized as follows: first, we review the literature that deals with international government bond diversification and portfolio construction from both the academic and practitioner standpoint. In Section 2, we discuss diversification across G7 governments both in the context of asset pricing as well as from an empirical perspective.

An international portfolio is a selection of stocks and other assets that focuses on foreign markets rather than domestic ones. If well designed, an international portfolio gives the investor. Five Bond Diversification Strategies.

advisors could construct a portfolio heavily weighted toward bonds and rest assured that the combined benefits of low risk, minimal volatility and a.

Abstract: Impavido, Musalem, and Tressel assess empirically the impact of contractual savings institutions portfolios (pension funds and life insurance companies) on securities markets, for example, depth and liquidity in the domestic stock market, and depth in the domestic bond market.

Abstract: October A growing body of theoretical and empirical work would push even skeptics toward the belief that the development of financial markets and institutions is critical to economic growth, rather than a sideshow or a passive response to growth.

Elements of Portfolio Diversification. To diversify a portfolio, one must have measures of rates of return, how the prices change, and other statistical variables.

Let us look at the above graph, which provides an idea about what the entire topic of portfolio diversification is about. The safest bet is to invest in the area filled with green. hite Paper Trading book Portfolio diversification in the fundamental review of the trading book Analyzing diff er enc es in 2.

A default risk charge: to capture the jump to default risk of bond and equity instruments 3. A residual risk add-on diversification effects of single desk positions within the overall valuation portfolio, as. We draw on portfolio theory and international diversification in order to analyse strategies International portfolio diversification, Original Sin, Emerging countries, Downside risk.

3 1. Introduction the case of a bond portfolio (Jarrow and Zhao, ). According to the authors, the mean-variance. Okay, okay, so diversification is a good thing, but why must a diversified portfolio include bonds. After all, there are many investments to choose from in this world.

True enough: There are many investments to choose from in this world. And if your portfolio is large enough, go ahead, invest in commodities and foreign real-estate [ ].

Today begins a two-part series on international bonds and whether or not they belong in your portfolio. Broad diversification of risk is one of the prudent rules of investing - since it's the only. Diversification, Original Sin, and International Bond Portfolios,” International Finance Discussion Paper no.Board of Governors of the Federal Reserve System, ().

Exchange Rate Volatility and Intervention: Implications from the Theory of Optimum Currency Areas,”. More than 60 years ago, Harry M.

Markowitz, a famous American economist and winner of the Nobel Prize in Economics, introduced the modern portfolio theory (MPT) in his paper “Portfolio Selection” to emphasize the importance of portfolio diversification in managing risks efficiently and maximizing returns.

Though the MPT has been proven empirically and mathematically over the past. Original sin is a term in economics literature, proposed by Barry Eichengreen, Ricardo Hausmann, and Ugo Panizza in a series of papers to refer to a situation in which "most countries are not able to borrow abroad in their domestic currency.".

The name is a reference to the concept of original sin in Christianity. The good news is that international ETFs make it easier than ever to build internationally-diversified portfolios. With the examples in this article, investors can get an idea of what international diversification looks like for various investor demographics.

International Diversification. Josh invests heavily in his (k) retirement plan at work, and makes it a goal to have a highly diversified portfolio.

The portfolio allocation initiated by international investors is thus combined with a transfer of currency risk to emerging economies, which are ill-prepared to support this risk.

Using a portfolio diversification approach we show that emerging economies might free themselves from such a risk in order to improve their resilience to shocks. But diversification goes further than just this mix. Take bonds, for instance: You can think of bond diversification in three main categories: bond type, bond maturity and bond sector.

Bond Type There are three primary categories of individual bonds: municipal, corporate and government. Each bond type has unique characteristics. While this example helps to illustrate the long-term value of being diversified, you don’t want to stop at the basic stock-and-bond level of diversification.

Within stocks you can invest in companies of varying sizes, international companies and those in different sectors—like consumer staples, technology or energy.

Diversification, Original Sin, and International Bond Portfolios. FRB International Finance Discussion Paper No. Number of pages: 38 Posted: 23 Mar home bias, emerging market debt, diversification, original sin.

The Performance of International Portfolios. FRB International Finance Discussion Paper No. Most bond funds, by contrast, let you through the door for $2, or less.

(Three of our portfolios hold only exchange-traded funds; the minimum .In finance, diversification is the process of allocating capital in a way that reduces the exposure to any one particular asset or risk.

A common path towards diversification is to reduce risk or volatility by investing in a variety of asset prices do not change in perfect synchrony, a diversified portfolio will have less variance than the weighted average variance of its constituent.

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