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

Filippo Maria Pericoli, Eleonora Pierucci and Luigi Ventura

MPRA Paper from University Library of Munich, Germany

Abstract: By using data from all available waves of the IMF Coordinated Portfolio In- vestment Surveys, we explore the dynamics of the determinants of cross portfolio investments. The main aim of our analysis, however, is to understand whether a diversification motive can also be found, among the various determinants. We find strong evidence that, indeed, the correlation between the idiosyncratic components of gdp growth, as well as the correlation between stock returns between pair of coun- tries, that we consider as proxies for diversification, are relevant to explain bilateral portfolio holdings, when unobserved heterogeneity is properly taken into account, by means of a fixed effect, panel estimation (where the fixed effects refer to pair of countries, rather than countries in isolation). Interestingly, the same results, cannot be retrieved from cross section estimations. It also turns out that the diversification motive is less relevant, if at all, in choosing whether or not to invest in a particular area.

Keywords: Coordinated Portfolio Investment Survey; risk sharing; gravity models (search for similar items in EconPapers)
JEL-codes: F15 F21 F41 (search for similar items in EconPapers)
Date: 2011-08-28
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/33071/1/MPRA_paper_33071.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/34342/1/MPRA_paper_34342.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/38115/1/MPRA_paper_38115.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/40080/1/MPRA_paper_40080.pdf revised version (application/pdf)

Related works:
Journal Article: International investment positions and risk-sharing: an empirical analysis on the coordinated portfolio investment survey (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:33071

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().