A Portfolio Approach to a Cross-sectoral and Cross-National Investment Strategy in Transition Economies

Willem Buiter, Ricardo Lago and Helene Rey

No 1548, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper takes a systematic look at the portfolio choice problem faced by investment banks or funds investing in transition economies. We relate the performance of projects in the transition economies to the broader macroeconomic and international environment, which affect the project through its input-output structure and its financial balance sheet. Among the macroeconomic determinants of enterprise behaviour we consider are productivity growth, real wage growth, movements in the international terms of trade, shocks to the relative price of traded and non-traded goods, domestic and foreign interest rates, currency depreciation and the rate of inflation. We evaluate the attractiveness of alternative investment strategies and provisioning rules from the perspective of portfolio theory.

Keywords: Enterprise Performance; Macroeconomic environment; Portfolio Choice; Provisioning; Transition Economies (search for similar items in EconPapers)
JEL-codes: D20 E44 F21 F41 G11 G24 G32 P27 (search for similar items in EconPapers)
Date: 1997-01
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: A portfolio approach to a cross‐sectoral and cross‐national investment strategy in transition economies (1997)
Working Paper: A Portfolio Approach to a Cross-Sectoral and Cross-National Investment Strategy in Transition Economics (1997)
Working Paper: A Portfolio Approach to a Cross-Sectoral and Cross-National Investment Strategy in Transition Economies (1997)
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