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The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members

The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members »

Source: The Role of Country Concentration in the International Portfolio Investment Positions for the European Union Members

Volume/Issue: 2014/74

Series: IMF Working Papers

Author(s): Iuliia Brushko , and Yuko Hashimoto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2014

ISBN: 9781475543759

Keywords: International Portfolio, Portfolio Flows, Portfolio Concentration, stock index, unemployment, unemployment rate, portfolio investment, bond, Portfolio Choice,

This paper examines the international portfolio flows of European Union. Our analysis includes three dimensions: (1) the level of countries portfolio investment concentration (those who invest evenly among counterp...

Carry Trade vs. Deposit-Driven Euroization

Carry Trade vs. Deposit-Driven Euroization »

Source: Carry Trade vs. Deposit-Driven Euroization

Volume/Issue: 2018/58

Series: IMF Working Papers

Author(s): Nan Geng , Tiberiu Scutaru , and Johannes Wiegand

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 March 2018

ISBN: 9781484345269

Keywords: Financial Dollarization, Euroization, Emerging Europe, Portfolio Choice

Financial 'euroization'-or 'dollarization' outside of Central and Eastern Europe-is typically analyzed as a singular phenomenon that can be traced to a common set of factors. This paper argues that two types of eur...

Portfolio Diversification, Leverage, and Financial Contagion

Portfolio Diversification, Leverage, and Financial Contagion »

Source: Portfolio Diversification, Leverage, and Financial Contagion

Volume/Issue: 1999/136

Series: IMF Working Papers

Author(s): T. Smith , and Garry Schinasi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1999

ISBN: 9781451855791

Keywords: financial contagion, portfolio choice, leverage, portfolio management, correlation, portfolio manager, covariance, predictions

Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be associated with asset sales in many unrelated markets. This paper demonstrates that contag...

Portfolio Rebalancing in Japan

Portfolio Rebalancing in Japan »

Source: Portfolio Rebalancing in Japan : Constraints and Implications for Quantitative Easing

Volume/Issue: 2015/186

Series: IMF Working Papers

Author(s): Serkan Arslanalp , and Dennis Botman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 August 2015

ISBN: 9781513557595

Keywords: quantitative easing, portfolio rebalancing, speed limits, portfolio, market, inflation, markets, General, Portfolio Choice, speed limits.,

Portfolio rebalancing is a key transmission channel of quantitative easing in Japan. We construct a realistic rebalancing scenario, which suggests that the BoJ may need to taper its JGB purchases in 2017 or 2018, g...

Risk-Taking and Optimal Taxation with Nontradable Human Capital

Risk-Taking and Optimal Taxation with Nontradable Human Capital »

Source: Risk-Taking and Optimal Taxation with Nontradable Human Capital

Volume/Issue: 1992/105

Series: IMF Working Papers

Author(s): Zuliu Hu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1992

ISBN: 9781451947427

Keywords: labor income, wage, wage tax, tax rate, portfolio choice

What are the effects of taxation on individual/entrepreneurs’ risk-taking behavior? This paper re-examines this old question in a continuous time life-cycle model. We demonstrate that the stream of uncertain...

Flight Capital as a Portfolio Choice

Flight Capital as a Portfolio Choice »

Source: Flight Capital as a Portfolio Choice

Volume/Issue: 1999/171

Series: IMF Working Papers

Author(s): Anke Hoeffler , Catherine Pattillo , and Paul Collier

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1999

ISBN: 9781451858488

Keywords: Capital flight, portfolio choice, debt, domestic investment, foreign debt, interest

This paper sets flight capital in the context of portfolio choice, focusing upon the proportion of private wealth that is held abroad. There are large regional differences in this proportion, ranging from 5 percent...

Tracking Global Demand for Advanced Economy Sovereign Debt1

Tracking Global Demand for Advanced Economy Sovereign Debt1 »

Source: Tracking Global Demand for Advanced Economy Sovereign Debt

Volume/Issue: 2012/284

Series: IMF Working Papers

Author(s): Serkan Arslanalp , and Takahiro Tsuda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 December 2012

ISBN: 9781475596403

Keywords: Portfolio Choice, Investment Decisions, government debt, central banks, central bank, external debt, Portfolio Choice and Investment Decisions, General,

Recent events have shown that sovereigns, just like banks, can be subject to runs, highlighting the importance of the investor base for their liabilities. This paper proposes a methodology for compiling internation...

Tracking Global Demand for Emerging Market Sovereign Debt1

Tracking Global Demand for Emerging Market Sovereign Debt1 »

Source: Tracking Global Demand for Emerging Market Sovereign Debt

Volume/Issue: 2014/39

Series: IMF Working Papers

Author(s): Serkan Arslanalp , and Takahiro Tsuda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 March 2014

ISBN: 9781484326541

Keywords: Portfolio Choice, Investment Decisions, government debt, central bank, external funding, central banks, Finance, Portfolio Choice and Investment Decisions,

This paper proposes an approach to track US$1 trillion of emerging market government debt held by foreign investors in local and hard currency, based on a similar approach that was used for advanced ec...

Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets

Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets »

Source: Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets

Volume/Issue: 2014/156

Series: IMF Working Papers

Author(s): Nasha Ananchotikul , and Longmei Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 August 2014

ISBN: 9781498340229

Keywords: portfolio flows, global risk aversion, exchange rate, bond, bond flows, risk aversion, stock market, Portfolio Choice,

In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global 'p...

Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets

Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets »

Source: Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets

Volume/Issue: 2015/198

Series: IMF Working Papers

Author(s): Deniz Igan , and Marcelo Pinheiro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 September 2015

ISBN: 9781513586878

Keywords: Delegated portfolio management, Informativeness, Contagion, Home bias, market, markets, prices, price, value, Portfolio Choice,

We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark-a common solution to the agency problem in delegated portfolio management. I...