01904nam a2200289 a 4500 1/51408 080128s2008 be u pdd 1 a0eng d 9789279082580 1016-8060 (print) 1725-3187 (online) KC-AI-08-333-EN-C 37768 GR-PeUP ΚΕΤ Αλφαβητική σειρά Baele, Lieven. Time-varying integration, the euro and international diversification strategies / Lieven Baele, Koen Inghelbrecht. Brussels- Belgium : European Comission : Directorate-General for Economic and Financial Affairs, 2008. 56 σ. : διαγ. πιν. ; 30 εκ. European Economy. Economic papers ; This paper investigates the impact of globalization and integration on the relative benefits of country and industry diversification. Unlike previous models, our factor model allows asset exposures to vary with both structural changes and temporary fluctuations in the economic and financial environment. First, we find that globalization and integration have lead to a gradual convergence of country to industry betas, especially in Europe. Second, not accounting for time-varying factor exposures leads to substantial biases in measures of country and industry risk. Third, even though the edge has structurally decreased, geographical diversification continues being superior to industry diversification. Economic Papers. Inghelbrecht, Koen. European Commission : Directorate-General for Economic and Financial Affairs. Economic Papers July 2008, No 333. European Economy. Economic papers ; 333. INST UNIPILB KET 20090212 EEEP 333 EEEP 333 NOLOAN 23 1 http://ec.europa.eu/economy_finance/publications/publication_summary12904_en.htm.