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Tracking Global Demand for Emerging Market Sovereign Debt

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

DOI: http://dx.doi.org/10.5089/9781484326541.001

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 »

Volume/Issue: 2014/156

Series: IMF Working Papers

Author(s): Nasha Ananchotikul , and Longmei Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 August 2014

DOI: http://dx.doi.org/10.5089/9781498340229.001

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 »

Volume/Issue: 2015/198

Series: IMF Working Papers

Author(s): Deniz Igan , and Marcelo Pinheiro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 September 2015

DOI: http://dx.doi.org/10.5089/9781513586878.001

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...

Push Factors and Capital Flows to Emerging Markets
			: Why Knowing Your Lender Matters More Than Fundamentals

Push Factors and Capital Flows to Emerging Markets : Why Knowing Your Lender Matters More Than Fundamentals »

Volume/Issue: 2015/127

Series: IMF Working Papers

Author(s): Eugenio Cerutti , Stijn Claessens , and Damien Puy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 June 2015

DOI: http://dx.doi.org/10.5089/9781513526638.001

ISBN: 9781513526638

Keywords: Push factors, global banks, markets, portfolio, Financial Aspects of Economic Integration, Portfolio Choice,

This paper analyzes the behavior of gross capital inflows across 34 emerging markets (EMs). We first confirm that aggregate inflows to EMs co-move considerably. We then report three findings: (i) the aggregate co-m...

When in Peril, Retrench
			: Testing the Portfolio Channel of Contagion

When in Peril, Retrench : Testing the Portfolio Channel of Contagion »

Volume/Issue: 2004/131

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

DOI: http://dx.doi.org/10.5089/9781451855319.001

ISBN: 9781451855319

Keywords: Contagion, risk aversion, portfolio choice, investors, stock market, mutual funds, international investors, International Finance: General, portforlio choice,

One plausible mechanism through which financial market shocks may propagate across countries is through the effect of past gains and losses on investors' risk aversion. We first present a simple model on how hetero...

The Asset Allocation of Emerging Market Mutual Funds

The Asset Allocation of Emerging Market Mutual Funds »

Volume/Issue: 2001/111

Series: IMF Working Papers

Author(s): Piti Disyatat , and R. Gelos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

DOI: http://dx.doi.org/10.5089/9781451853476.001

ISBN: 9781451853476

Keywords: asset allocation, portfolio choice, contagion, statistic, risk aversion, optimization, correlation, covariance,

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedica...

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis
			: Causes, Impacts, and Challenges

Procyclical Behavior of Institutional Investors During the Recent Financial Crisis : Causes, Impacts, and Challenges »

Volume/Issue: 2013/193

Series: IMF Working Papers

Author(s): Michael Papaioannou , Joonkyu Park , Jukka Pihlman , and Han Hoorn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2013

DOI: http://dx.doi.org/10.5089/9781484336083.001

ISBN: 9781484336083

Keywords: long-term investments, institutional investors, procyclicality, financial stability, financial system, financial markets, bonds, bond, Portfolio Choice,

This paper (i) provides evidence on the procyclical investment behavior of major institutional investors during the global financial crisis; (ii) identifies the main factors that could account for such behavior; (i...

The Determinants of International Portfolio Holdings and Home Bias

The Determinants of International Portfolio Holdings and Home Bias »

Volume/Issue: 2004/34

Series: IMF Working Papers

Author(s): Shujing Li , Hamid Faruqee , and Isabel Yan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

DOI: http://dx.doi.org/10.5089/9781451845297.001

ISBN: 9781451845297

Keywords: International portfolio choice, Home bias, Transaction cost, Information cost, equation, correlation, market size, survey, statistics,

Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity...

A Primer on Managing Sovereign Debt-Portfolio Risks

A Primer on Managing Sovereign Debt-Portfolio Risks »

Volume/Issue: 2018/74

Series: IMF Working Papers

Author(s): Thordur Jonasson , and Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 April 2018

DOI: http://dx.doi.org/10.5089/9781484350546.001

ISBN: 9781484350546

Keywords: Public debt management, Financial risk, Foreign Exchange Hedging, Government Securities Markets, General, Portfolio Choice

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management s...

Domestic and Foreign Mutual Funds in Mexico
			: Do They Behave Differently?

Domestic and Foreign Mutual Funds in Mexico : Do They Behave Differently? »

Volume/Issue: 2015/104

Series: IMF Working Papers

Author(s): Jasmine Xiao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 May 2015

DOI: http://dx.doi.org/10.5089/9781475589542.001

ISBN: 9781475589542

Keywords: herding, feedback trading, flows, foreign mutual funds, bond, domestic mutual funds, Portfolio Choice,

This paper utilizes a new dataset of foreign and domestic mutual funds in Mexico to assess their behavior and obtains three new findings. First, foreign mutual funds are more sensitive to global financial condition...