Pericoli, Filippo and Pierucci, Eleonora and Ventura, Luigi (2011): International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey.
This is the latest version of this item.
Download (292kB) | Preview
By using data from all available waves of the IMF Coordinated Portfolio Investment Surveys, we explore the determinants of bilateral portfolio investments and their dynamics. The main goal of our analysis is that of understanding whether a diversication motive can be found, among the various determinants. We introduce a new diversification variable given by the correlation between the idiosyncratic components of GDP growth and first take into account unobserved heterogeneity by means of a country pair-fixed effect, panel estimation relaxing the more restrictive double fixed effects model due to Lane and Milesi-Ferretti (REStat 90:538-549, 2008). We find strong evidence that a diversication motive is relevant to explain bilateral portfolio holdings. The same results cannot be obtained from cross section estimations as in previous literature. It also turns out that investing in stocks of less synchronised partner economies does not bring about a lot of income smoothing, as one might have expected.
|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. Jul 2012 20:27|
|Last Modified:||12. Feb 2013 23:17|
Ahearne, A. B., Griever, W. and Warnock, F. (2004). Information costs and the home bias. Journal of International Economics, 62 (2), 313–336.
Asdrubali, P., Sorensen, B. E. and Yosha, O. (1996). Channels of interstate risk sharing: United states 1963-1990. The Quarterly Journal of Economics, 111 (4), 1081– 1110.
Bai, Y. and Zhang, J. (2004). Financial integration and international risk-sharing. Manuscript, Arizona State University.
Balli, F., S. A. Basher, and H. O. Balli (2011). Income insurance and the determinants of income insurance via foreign asset revenues and foreign liability payments. Economic Modelling 28(5), 2296–2306.
Bracke, T. and Schmitz, M. (2008). Channels of international risk-sharing: capital gains versus income flows. ECB Working Paper Series, (938).
Buch, C. (2002). Are banks different? evidence from international data. International Finance, 5 (1), 97–114.
Dahlquist, M., Pinkowitz, L., Stulz, R. M. and Williamson, R. (2003). Corporate governance and the home bias. Journal of Financial and Quantitative Analysis, 38 (1), 87–110.
Driscoll, J. C. and A. C. Kraay (1998). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. The Review of Economics and Statistics 80 (4), 549-560.
Felettigh, A. and P. Monti (2008). How to interpret the CPIS data on the distribution of foreign portfolio assets in the presence of sizeable cross-border positions in mutual funds. evidence for italy and the main euro-area countries. Questioni di Economia e Finanza (Occasional Papers) 16, Bank of Italy, Economic Research Department.
Giannone, D. and Reichlin, L. (2006). Trends and cycles in the euro area: how much heterogeneity and should we worry about it? Working Paper Series, European Central Bank, (595).
Heathcote, J. and F. Perri (2004). Financial globalization and real regionalization. Journal of Economic Theory 119.
Hodrick, R. J. and E. C. Prescott (1997). Postwar u.s. business cycles: An empirical investigation. Journal of Money, Credit and Banking 29 (1), 1-16.
Hoechle, D. (2007). Robust standard errors for panel regressions with cross-sectional dependence. Stata Journal 7 (3), 281-312.
Imbs, J. (2006). The real effects of financial integration. Journal of International Economics 68(2), 296-324.
Kalemli-Ozcan, S., E. Papaioannou, and J. Peydrò (2012). Financial regulation, financial globalization and the synchronization of economic activity. Journal of Finance, forthcoming, 313–336.
Kaminsky, G. L., Reinhart, C. M. and Vegh, C. A. (2005). When it rains, it pours: Procyclical capital flows and macroeconomic policies. NBER Macroeconomics Annual 2004, 19, 11–53.
Kose, M. A., E. S. Prasad, and M. E. Terrones (2004). Volatility and comovement in an integrated world economy: an exploration, pp. 89-122. Macroeconomic Policies in the World Economy ed. Siebert, H.
Kose, M. A., Prasad, E. S. and Terrones, M. E. (2006). How do trade and financial integration affect the relationship between growth and volatility? Journal of International Economics, 69 (1), 176–202.
Kose, M. A., Prasad, E. S. and Terrones, M. E. (2008). Does financial globalization promote risk-sharing? Journal of Development Economics, 89(2), 258-270.
Lane, P. R. and Milesi-Ferretti, G. M. (2008). International investment patterns. The Review of Economics and Statistics, 90 (3), 538–549.
Lewis, K. (1999). Explain home bias in equities and consumption. Journal of Economic Literature, 37, 571–608.
Martin, P. and H. Rey (2004). Financial super-markets: size matters for asset trade. Journal of International Economics 64, 335–361.
Otto, G., V.-G. and L. Willard (2001). Understanding oecd output correlations. Reserve Bank of Australia Research Discussion Paper n. 2001/05.
Pierucci, E. and L. Ventura (2010). Risk sharing: A long run issue? Open Economies Review 21 (5), 705-730.
Porta, R. L., F. Lopez-De-Silanes, and A. Shleifer (2005). What works in securities laws? Journal of Finance 61 (1), 1-32.
Portes, R. and Rey, H. (2005). The determinants of cross-border equity flows. Journal of International Economics, 65 (2), 269–296.
Rose, A. K. and Spiegel, M. (2004). A gravity model of sovereign lending: Trade, default and credit. IMF Staff Papers, 51, 64–74.
Sorensen, B. E., Wu, Y., Yosha, O. and Zhu, Y. (2007). Home bias and international risk sharing: Twin puzzles separated at birth. Journal of International Money and Finance, 26 (4), 587–605.
Stein, E. H. and Daude, C. (2007). Longitude matters: Time zones and the location of FDI. Journal of International Economics, 71, 96–112.
Warnock, F. E. (2006). How might a disorderly resolution of global imbalances affect global wealth? IMF Working Papers 06/170, International Monetary Fund.
Wei, S. (2000). How taxing is corruption on international investors? The Review of Economics and Statistics, 82, 1–11.
White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48 (4), 817-38.
Yildrim, C. (2003). Informational asymmetries, corporate governance infrastructure and foreign portfolio equity investment. mimeo, University of Tilburg.
Available Versions of this Item
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)
- International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey. (deposited 15. Jul 2012 20:27) [Currently Displayed]
- International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey. (deposited 15. Apr 2012 14:05)
- International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey. (deposited 27. Oct 2011 02:48)