What drives international portfolio flows?

Lucio Sarno, Ilias Tsiakas and Barbara Ulloa

Journal of International Money and Finance, 2016, vol. 60, issue C, 53-72

Abstract: Understanding what drives international portfolio flows has important policy implications for countries wishing to exert some control on the size, direction and volatility of the flows. This paper empirically assesses the relative contribution of common (push) and country-specific (pull) factors to the variation of bond and equity flows from the US to 55 other countries. Using a Bayesian dynamic latent factor model, we find that more than 80% of the variation in bond and equity flows is due to push factors from the US to other countries. Hence global economic forces seem to prevail over domestic economic forces in explaining movements in international portfolio flows. The dynamics of push and pull factors can be partially explained by US and foreign economic fundamentals.

Keywords: International portfolio flows; Dynamic factor model; Push and pull factors (search for similar items in EconPapers)
JEL-codes: F21 G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (63)

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Working Paper: What Drives International Portfolio Flows? (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:60:y:2016:i:c:p:53-72

DOI: 10.1016/j.jimonfin.2015.03.006

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