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Geopolitical risk and cross-border portfolio flows : effects and Channels

Caporale, Guglielmo Maria; Ali, Faek Menla - 2024

This paper analyses the short- and long-term effects of geopolitical uncertainty on cross-border portfolio flows between the US and 41 developed and emerging economies over the period January 1992-November 2022. We find that geopolitical uncertainty decreases equity inflows from other countries...

Persistent link: https://www.econbiz.de/10015065292

Drivers of portfolio flows into Chinese debt securities amidst China's bond market development

McCully, Tuuli - 2023

The paper focuses on China's onshore bond market and the drivers of non-resident net portfolio flows into Chinese debt securities. Building on a theoretical model of push and pull factors as a foundation for the empirical analysis on drivers of bond flows into China, static and time-varying...

Persistent link: https://www.econbiz.de/10014438781

Linking net foreign portfolio debt and equity to exchange rate movements

Gardberg, Malin - 2018

Many currencies, especially those of countries with negative net foreign assets, tend to depreciate during times of financial turbulence. Using a panel of 26 currencies over the period 1/1997 - 6/2016, I show that the composition of net foreign assets matter for the exchange rate sensitivity to...

Persistent link: https://www.econbiz.de/10011926196

International financial market integration, asset compositions and the falling exchange rate pass-through : conference paper

Enders, Zeno; Enders, Almira; Hoffmann, Mathias - 2014 - Preliminary

This paper provides an explanation for the observed decline of exchange rate pass-through into import prices by modeling the effects of financial market integration on the optimal choice of the pricing currency in the context of rigid nominal goods prices. Contrary to previous literature, the...

Persistent link: https://www.econbiz.de/10010486033

Cross-border portfolio diversification under trade linkages

Khalil, Makram - 2017

This study uncovers a cross-border financial diversification motive related to goods and services trade. Using the IMF … of equity in a bilateral portfolio decreases with bilateral trade. An important driving force behind this pattern are … holdings of foreign debt, i.e. increasing trade intensity is strongly related to increasing holdings of foreign debt and less …

Persistent link: https://www.econbiz.de/10011590598

Elasticity Optimism

Imbs, Jean - 2009

multilateral trade data to structurally identify elasticities of substitution in US goods. We spell out a partial equilibrium model …

Persistent link: https://www.econbiz.de/10012719929

Differential treatment in the bond market : sovereign risk and mutual fund portfolios

Converse, Nathan; Mallucci, Enrico - 2019

How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...

Persistent link: https://www.econbiz.de/10012126135

Current Accounts in the Long and Short Run

Kraay, Aart; Ventura, Jaume - 2003

Faced with income fluctuations, countries smooth their consumption by raising savings when income is high, and vice versa. How much of these savings do countries invest at home and abroad? In other words, what are the effects of fluctuations in savings on domestic investment and the current...

Persistent link: https://www.econbiz.de/10014115044

Funding under borrowing limits in international portfolios

Trani, Tommaso - 2012

interaction between the terms of trade and the tightness of the borrowing constraints. Dynamically, this interaction implies that … of trade effect. Combined, these effects have somehow novel implications for the net foreign asset positions. The …

Persistent link: https://www.econbiz.de/10009490166

A Reappraisal of the Allocation Puzzle Through the Portfolio Approach

Benhima, Kenza - 2010

Paradoxically, high-investment and high-growth developing countries tend to experience capital outflows. This paper shows that this allocation puzzle can be explained simply by introducing uninsurable idiosyncratic investment risk in the neoclassical growth model. Using a sample of 67 countries...

Persistent link: https://www.econbiz.de/10013141147