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Benchmarking Portfolio Flows

John Burger, Francis E. Warnock () and Veronica Cacdac Warnock
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Francis E. Warnock: University of Virginia
Veronica Cacdac Warnock: University of Virginia

IMF Economic Review, 2018, vol. 66, issue 3, 527-563

Abstract: Abstract To gauge the amount of portfolio inflows a country can expect to receive, we create a benchmark, a longer-term baseline path around which actual flows fluctuate, for 45 countries for the 2000 to 2017 period. For EMEs, there is a significant long-run relationship between actual portfolio flows and our benchmark, flows adjust strongly toward the benchmark, and our benchmark helps predict 1-year-ahead changes in inflows. For AEs, the benchmark performs well in directional forecasting exercises. In practical terms, when assessing large movements in portfolio flows it is informative to distinguish between movements toward the benchmark and movements away from the benchmark.

Date: 2018
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