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

Horioka, Charles Yuji; Terada, Akiko; Nomoto, Takaaki

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

Horioka, Charles Yuji; Terada, Akiko; Nomoto, Takaaki

Institute of Social and Economic Research Discussion Papers, 2015, 950, 1-23

アクセス数:263件（2025-03-15 16:45 集計）

固定URL: https://hdl.handle.net/11094/54380

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タイトル	EXPLAINING FOREIGN HOLDINGS OF ASIA’S DEBT SECURITIES : THE FELDSTEIN-HORIOKA PARADOX REVISITED
著者	NRID 1000090173632 1000090173632 著者名 Horioka, Charles Yuji
	著者名 Terada, Akiko 著者の別表記 Hagiwara, Akiko
	著者名 Nomoto, Takaaki
キーワード等	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
抄録	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.
出版者	The Institute of Social and Economic Research, Osaka University
収録物名	Institute of Social and Economic Research Discussion Papers
巻(号)	950
ページ	1-23
刊行年月	2015-11
言語	英語
ハンドルURL	https://hdl.handle.net/11094/54380
関連情報 (references)	URI http://www.iser.osaka-u.ac.jp/library/dp/2015/DP0950.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Institute of Social and Economic Research Discussion Papers

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Institute of Social and Economic Research Discussion Papers. 2015, 950, p. 1-23
DC.title	EXPLAINING FOREIGN HOLDINGS OF ASIA’S DEBT SECURITIES : THE FELDSTEIN-HORIOKA PARADOX REVISITED
DC.creator	Horioka, Charles Yuji
	Terada, Akiko
	Nomoto, Takaaki
DC.creator	Hagiwara, Akiko
DC.publisher	The Institute of Social and Economic Research, Osaka University
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2015-11
DC.relation' scheme='DCTERMS.URI	http://www.iser.osaka-u.ac.jp/library/dp/2015/DP0950.pdf
DC.subject	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
DCTERMS.abstract	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.
DC.format	54380
citation_title	EXPLAINING FOREIGN HOLDINGS OF ASIA’S DEBT SECURITIES : THE FELDSTEIN-HORIOKA PARADOX REVISITED
citation_author	Horioka, Charles Yuji
	Terada, Akiko
	Nomoto, Takaaki
citation_publisher	The Institute of Social and Economic Research, Osaka University
citation_language	英語
citation_date	2015-11
citation_journal_title	Institute of Social and Economic Research Discussion Papers
citation_volume	950
citation_firstpage	1
citation_lastpage	23
citation_public_url	https://hdl.handle.net/11094/54380
citation_abstract_html_url	http://www.iser.osaka-u.ac.jp/library/dp/2015/DP0950.pdf

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

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