Pericoli, Filippo and Pierucci, Eleonora and Ventura, Luigi (2011): International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey.
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By using data from all available waves of the IMF Coordinated Portfolio In- vestment Surveys, we explore the dynamics of the determinants of cross portfolio investments. The main aim of our analysis, however, is to understand whether a diversification motive can also be found, among the various determinants. We find strong evidence that, indeed, the correlation between the idiosyncratic components of gdp growth, as well as the correlation between stock returns between pair of coun- tries, that we consider as proxies for diversification, are relevant to explain bilateral portfolio holdings, when unobserved heterogeneity is properly taken into account, by means of a fixed effect, panel estimation (where the fixed effects refer to pair of countries, rather than countries in isolation). Interestingly, the same results, cannot be retrieved from cross section estimations. It also turns out that the diversification motive is less relevant, if at all, in choosing whether or not to invest in a particular area.
|Item Type:||MPRA Paper|
|Original Title:||International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey|
|English Title:||International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey|
|Keywords:||Coordinated Portfolio Investment Survey; risk sharing; gravity models|
|Subjects:||F - International Economics > F1 - Trade > F15 - Economic Integration
F - International Economics > F2 - International Factor Movements and International Business > F21 - International Investment; Long-Term Capital Movements
F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics
|Depositing User:||Filippo Pericoli|
|Date Deposited:||15. Apr 2012 14:05|
|Last Modified:||20. Feb 2013 14:39|
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International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey. (deposited 04. Sep 2011 19:34)
International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey. (deposited 27. Oct 2011 02:48)
- International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey. (deposited 15. Apr 2012 14:05) [Currently Displayed]
- International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey. (deposited 27. Oct 2011 02:48)