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Sovereign wealth funds’ cross-border investments: Assessing the role of country-level drivers and spatial competition

Nicolas Debarsy (), Jean-Yves Gnabo () and Malik Kerkour ()

Journal of International Money and Finance, 2017, vol. 76, issue C, 68-87

Abstract: The aim of this paper is to identify the driving forces of cross-border investments emanating from Sovereign wealth funds and to test the existence of spatial competition among recipient countries. For this, we develop an original econometric framework that quantifies the role of spatial dependence in the location of investments, and that uses a modified version of the standard estimation procedure of spatial panel model, which accommodates the Inverse Hyperbolic Sine transformation of the dependent variable. This transformation copes with two critical features of net capital flows, namely an highly skewed distribution and the presence of zero and negative values. Using a large-scale database, we provide evidence of negative spatial dependence, investments in one country being on average at the expense of its neighbors.

Keywords: Sovereign wealth funds; Pull factors; Spatial econometrics; Inverse Hyperbolic Sine transformation; Interactions (search for similar items in EconPapers)
JEL-codes: C18 C21 C23 F21 G15 G32 G38 (search for similar items in EconPapers)
Date: 2017
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Working Paper: Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition (2017) Downloads
Working Paper: Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition (2016) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:76:y:2017:i:c:p:68-87

DOI: 10.1016/j.jimonfin.2017.05.007

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