The demand for eurozone stocks and bonds in a time-varying asset allocation framework
Source of Publication
European Journal of Finance
© 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.
eurozone bonds, eurozone stocks, intertemporal hedging demand, myopic demand, Portfolio choice
Umar, Zaghum; Shehzad, Choudhry Tanveer; and Samitas, Aristeidis, "The demand for eurozone stocks and bonds in a time-varying asset allocation framework" (2019). All Works. 3388.
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