EXPLAINING FOREIGN HOLDINGS OF ASIA’S DEBT SECURITIES : THE FELDSTEIN-HORIOKA PARADOX REVISITED

• Material Type: 文書・図像類
• Title: EXPLAINING FOREIGN HOLDINGS OF ASIA’S DEBT SECURITIES : THE FELDSTEIN-HORIOKA PARADOX REVISITED
• Author/Editor: Horioka, Charles Yuji; Terada, Akiko; Nomoto, Takaaki
• Author Heading: Horioka, Charles Yuji; https://nrid.nii.ac.jp/nrid/1000090173632; Terada, Akiko; Nomoto, Takaaki
• Publication, Distribution, etc.: The Institute of Social and Economic Research, Osaka University
• Publication Date: 2015-11
• Publication Date (W3CDTF): 2015-11
• Periodical title: Institute of Social and Economic Research Discussion Papers
• No. or year of volume/issue: 950
• Volume: 950
• Pages: 1-23
• Text Language Code: eng
• Alias of Author: Hagiwara, Akiko
• Subject Heading: Capital asset pricing model; cross-border portfolio investments; debt securities; Feldstein-Horioka paradox; Feldstein-Horioka puzzle; foreign debt holdings; Global Financial Crisis; government bonds; government securities; home bias; international capital flows; movements; advanced Asia; developed Asia; developing Asia; non-Japan Asia; Eurozone; Japan
• Target Audience: 一般
• Note (General): 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.
• References (URI): http://www.iser.osaka-u.ac.jp/library/dp/2015/DP0950.pdf; URI
• Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）; https://irdb.nii.ac.jp
• Original Data Provider (Database): 大阪大学 : 大阪大学学術情報庫 桜華