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dc.contributor.advisorChaban, Maxymen_US
dc.contributor.advisorSt. Louis, Larryen_US
dc.creatorSieminska, Klaudiaen_US
dc.date.accessioned2013-01-03T22:34:40Z
dc.date.available2013-01-03T22:34:40Z
dc.date.created2011-08en_US
dc.date.issued2011-10-02en_US
dc.date.submittedAugust 2011en_US
dc.identifier.urihttp://hdl.handle.net/10388/ETD-2011-08-84en_US
dc.description.abstractThe purpose of this paper is to examine the allocation of cross-border equity holdings and provide evidence that investors use equities to hedge real exchange fluctuations. The famous Backus-Smith (1993) condition, that relates the real exchange rates and relative consumption, is utilized in a two-country endowment economy introduced by Coeurdacier and Gourinchas (2009), in this case however, only stocks are traded. An important relationship between the real exchange rates, relative returns and equity positions is uncovered and subsequently incorporated into a gravity model developed by Coeurdacier and Guibaud (2011). Based on the uncovered relationship a new explanatory variable representing the correlation between the changes in real exchange rates and excess returns is utilized as a measure of the variation in bilateral equity holdings. If negative correlations imply home bias and positive correlations foreign bias, then given the particular market characteristics, the model measures whether investors hold equities to hedge the fluctuations in real exchange rate returns to smooth consumption. Although the primary results confirm the proposition, the findings vary with respect to the specifications included, and more empirical testing should be conducted.en_US
dc.language.isoengen_US
dc.subjectDiversificationen_US
dc.subjectHome Biasen_US
dc.subjectHedgingen_US
dc.subjectReal Exchange Rateen_US
dc.subjectRelative Equity Returnsen_US
dc.subjectGravity Modelen_US
dc.titleDIVERSIFICATION AND REAL EXCHANGE RATE HEDGING IN EQUITY HOLDINGSen_US
thesis.degree.departmentEconomicsen_US
thesis.degree.disciplineEconomicsen_US
thesis.degree.grantorUniversity of Saskatchewanen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Arts (M.A.)en_US
dc.type.materialtexten_US
dc.type.genreThesisen_US
dc.contributor.committeeMemberLucas, Roberten_US
dc.contributor.committeeMemberPollak, Andreasen_US
dc.contributor.committeeMemberWilson, Craigen_US


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