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ASSESSING THE BENEFITS OF INTERNATIONAL PORTFOLIO DIVERSIFICATION IN BONDS AND STOCKS

In order to provide an estimate of the attainable gains in the liquidity premium, the Commission has conducted a statistical analysis of each issuance of sovereign bonds in the euro area after 1999. The size of the issuance is used as an approximation (as it is the most broadly available indicator even if it might underestimate the potential gain in liquidity premia) of how liquid a bond issuance is, and the coefficient in a regression determines the attainable gains from issuing bonds in higher volumes 8 . A first model is estimated using data on AAA-rated euro-area Member States (labelled "AAA" in. | EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES EUROPEAN CENTRAL BANK EUROSYSTEM In 2008 all ECB publications feature a motif taken from the 10 banknote. WORKING PAPER SERIES NO 883 I MARCH 2008 ASSESSING THE BENEFITS OF INTERNATIONAL PORTFOLIO DIVERSIFICATION IN BONDS AND STOCKS 1 by Roberto A. De Santis 2 and Lucio Sarno 3 This paper can be downloaded without charge from http www.ecb.europa.eu or from the Social Science Research Network electronic library at http ssrn.com abstract_id 1105383. Ì This paper was partly written while Lucio Sarno was a Visiting Scholar at the International Monetary Fund. We are grateful for constructive comments at various stages of this paper to Lorenzo Cappiello John Cochrane and Robert Engle. The authors alone are responsible for the views expressed in the paper and for any errors that may remain. 2 Corresponding author European Central Bank Kaiserstrasse 29 D-603ÌÌ Frankfurt am Main Germany Tel 49 69 Ì344 0 e-mail roberto.de_santis@ecb.int 3 University of Warwick and Centre for Economic Policy Research CEPR . Contact address Finance Group Warwick Business School University of Warwick Coventry CV4 7AL United Kingdom e-mail lucio.sarno@wbs.ac.uk European Central Bank 2008 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Website http www.ecb.europa.eu Fax 49 69 1344 6000 All rights reserved. Any reproduction publication and reprint in the form of a different publication whether printed or produced electronically in whole or in part is permitted only with the explicit written authorisation of the ECB or the author s . The views expressed in this paper do not necessarily reflect those of the European Central Bank. The statement of purpose for the ECB Working Paper Series is available from the ECB website http www.ecb. eu rop a. e u pub sci entfi c wps date htm I index.en. html ISSN 1561-0810 print ISSN 1725-2806 online