We explore the determinants of bilateral portfolio investments and their dynamics by using data from nine waves of the IMF coordinated portfolio investment survey (CPIS). The main goal of our analysis is that of understanding whether a diversification motive can be found, among the various determinants. As diversification variable, we use the correlation between the idiosyncratic components of gross domestic product (GDP) growth and take into account unobserved heterogeneity by means of a country pair-fixed effect panel model. We find strong evidence that a diversification motive is relevant to explain bilateral portfolio holdings. It also turns out that investing in stocks of less synchronised partner economies contributes to income smoothing to some extent.
International investment positions and risk-sharing. An empirical analysis on the coordinated portfolio investment survey / Pericoli, Filippo M.; Pierucci, Eleonora; Ventura, Luigi. - In: INTERNATIONAL JOURNAL OF COMPUTATIONAL ECONOMICS AND ECONOMETRICS. - ISSN 1757-1170. - 5:4(2015), p. 364. [10.1504/IJCEE.2015.072292]
International investment positions and risk-sharing. An empirical analysis on the coordinated portfolio investment survey
Pericoli, Filippo M.;Pierucci, Eleonora;Ventura, Luigi
2015
Abstract
We explore the determinants of bilateral portfolio investments and their dynamics by using data from nine waves of the IMF coordinated portfolio investment survey (CPIS). The main goal of our analysis is that of understanding whether a diversification motive can be found, among the various determinants. As diversification variable, we use the correlation between the idiosyncratic components of gross domestic product (GDP) growth and take into account unobserved heterogeneity by means of a country pair-fixed effect panel model. We find strong evidence that a diversification motive is relevant to explain bilateral portfolio holdings. It also turns out that investing in stocks of less synchronised partner economies contributes to income smoothing to some extent.File | Dimensione | Formato | |
---|---|---|---|
Ventura_International_2015.pdf
solo gestori archivio
Tipologia:
Documento in Post-print (versione successiva alla peer review e accettata per la pubblicazione)
Licenza:
Tutti i diritti riservati (All rights reserved)
Dimensione
412.46 kB
Formato
Adobe PDF
|
412.46 kB | Adobe PDF | Contatta l'autore |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.