Tài liệu ASSESSING THE BENEFITS OF INTERNATIONAL PORTFOLIO DIVERSIFICATION IN BONDS AND STOCKS ppt

WORKING PAPER SERIES... De Santis 2 and Lucio Sarno 3 This paper can be downloaded without charge fromhttp://www.ecb.europa.eu or from the Social Science Research Network electronic libr

WORKING PAPER SERIES

AND STOCKS 1

by Roberto A De Santis 2 and Lucio Sarno 3

This paper can be downloaded without charge fromhttp://www.ecb.europa.eu or from the Social Science Research Network

electronic library at http://ssrn.com /abstract_id=1105383

1 This paper was partly written while Lucio Sarno was a Visiting Scholar at the International Monetary Fund We are grateful for constructive comments at various stages of this paper to Lorenzo Cappiello, John Cochrane and Robert Engle The authors alone are responsible for

the views expressed in the paper and for any errors that may remain.

2 Corresponding author: European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany; Tel: +49 69 1344 0;

© European Central Bank, 2008 Address

All rights reserved

Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the author(s)

The views expressed in this paper do not necessarily refl ect those of the European Central Bank.

The statement of purpose for the ECB Working Paper Series is available from the ECB website, http://www.ecb europa.eu/pub/scientifi c/wps/date/html/ index.en.html

ISSN 1561-0810 (print)

Abstract 4

2 A factor pricing model of

exchange rates, bonds and stocks 10

2.2 Uncovered interest rate parity 11

2.3 Uncovered return parity for

2.4 Equity and bond returns equilibrium 12

2.5 The full parity system 12

3 Empirical implementation 13

3.1 GMM estimation and

restrictions to test comovement 13

3.2 Stochastic discount factor 14

5.2 The US discount factor 18

5.3 The model with time-varying risk premia 19

5.4 Performance of global

and domestic portfolios 20

5.5 Time-varying comovement from the 1980s 22

European Central Bank Working Paper Series 41

CONTE NT S

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