Title

The demand for eurozone stocks and bonds in a time-varying asset allocation framework

ORCID Identifiers

0000-0002-0425-2665

Document Type

Article

Source of Publication

European Journal of Finance

Publication Date

7-24-2019

Abstract

© 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group. This paper analyzes the short and long-run demand for traditional financial asset classes in eleven founding eurozone members. Our sample period starts from the introduction of euro till 2017. We calculate the welfare losses stemming from ignoring the demand for domestic and eurozone equities and bonds, for various levels of risk aversion. Our results show that the bonds of eurozone countries are, in general, desirable for short-run only. However, in Ireland, Portugal and Spain the bonds are desirable for both short-run and long-run investment horizons. Stocks exhibit both short-run and long-run desirability for all countries except Greece. The Greek stocks are desirable for short- run only.

ISSN

1351-847X

Publisher

Routledge

Volume

25

Issue

11

First Page

994

Last Page

1011

Disciplines

Business

Keywords

eurozone bonds, eurozone stocks, intertemporal hedging demand, myopic demand, Portfolio choice

Scopus ID

85059618243

Indexed in Scopus

yes

Open Access

no

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