International investment positions and risk-sharing: an empirical analysis on the coordinated portfolio investment survey

Filippo Maria Pericoli, Eleonora Pierucci and Luigi Ventura

International Journal of Computational Economics and Econometrics, 2015, vol. 5, issue 4, 364-391

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.

Keywords: IMF CPIS; coordinated portfolio investment survey; risk sharing; gravity models; international investment positions; modelling; diversification; bilateral portfolio holdings; income smoothing. (search for similar items in EconPapers)
Date: 2015
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Working Paper: International investment positions and risk sharing: an empirical analysis on the coordinated portfolio investment survey (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijcome:v:5:y:2015:i:4:p:364-391

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