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Europe > Iceland

You are looking at 1 - 2 of 2 items for :

  • Type: Journal Issue x
  • Portfolio management x
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Cover IMF Working Papers
Determinants of Financial Market Spillovers: The Role of Portfolio Diversification, Trade, Home Bias, and Concentration
Yoko Shinagawa
This paper defines financial market spillovers as the comovement between two countries’ financial markets and analyzes financial market spillovers over the period 2001-12 through four channels: bilateral portfolio investment, bilateral trade, home bias, and country concentration. The paper finds that, if a country has a large amount of bilateral portfolio exposure in another country, these two countries’ comovement of bond yields are large. Also, countries’ geographical preferences impact financial spillovers; if a country has a stronger home bias, the country could have less spillovers from foreign financial markets. A policy implication from this result is that, if countries become less home-biased and have a greater amount of portfolio investment assets, they should strengthen prudential regulations to mitigate against rising risks of financial spillovers (or risk greater volatility owing to comovement with foreign markets).
Keywords:
WP; market; asset holding; Financial Spillover; Coordinated Portfolio Investment Survey (CPIS); Home Bias; financial market spillover; market contagion; correlation vis-à-vis; heightened market instability; portfolio inflow; Spillovers; Portfolio investment; Stock markets; Stocks; Securities; Global
Cover IMF Working Papers
The Role of Risk and Information for International Capital Flows: New Evidence from the SDDS
Ms. Yuko Hashimoto
and
Mr. Konstantin Wacker
In this paper we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance with the IMF's Special Data Dissemination Standard (SDDS). For FDI, we find statistically significant and robust support for this hypothesis: SDDS subscription increased inflows by an economically relevant magnitude of about 60 percent. We also find evidence of aversion against political and macroeconomic risk as determinants of portfolio and FDI flows anduse a non-parametric test for spatial correlation in the residual of capital flows.
Keywords:
WP; FDI inflow; interest rate; emerging market; FDI flow; determinants of capital flows; information; panel data; risk; SDDS; IMF; FDI; portfolio investment; spatial econometrics; FDI-agglomeration literature; FDI literature; SDDS subscription; portfolio flow; Foreign direct investment; Special Data Dissemination Standard (SDDS); Capital flows; Exchange rates; Global