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Author: Mr.Serkan Arslanalp Publisher: International Monetary Fund ISBN: 1513559222 Category : Business & Economics Languages : en Pages : 25
Book Description
Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called “benchmark effect.” This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market—the EM local currency government bond market—, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers of EM capital flows and their sensitivity to different types of shocks. In particular, a high share of benchmark-driven investors may result in capital flows that are more sensitive to global shocks and less sensitive to country factors.
Author: Mr.Serkan Arslanalp Publisher: International Monetary Fund ISBN: 1513559222 Category : Business & Economics Languages : en Pages : 25
Book Description
Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called “benchmark effect.” This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market—the EM local currency government bond market—, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers of EM capital flows and their sensitivity to different types of shocks. In particular, a high share of benchmark-driven investors may result in capital flows that are more sensitive to global shocks and less sensitive to country factors.
Author: Serkan Arslanalp (Mr) Publisher: ISBN: 9781513529950 Category : Languages : en Pages :
Book Description
Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called "benchmark effect." This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market-the EM local currency government bond market-, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers.
Author: Nasha Ananchotikul Publisher: International Monetary Fund ISBN: 1498340229 Category : Business & Economics Languages : en Pages : 33
Book Description
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 “push” factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis.
Author: Mr.Mohsin S. Khan Publisher: International Monetary Fund ISBN: 1451924941 Category : Business & Economics Languages : en Pages : 33
Book Description
This paper reviews some of the basic patterns of international capital flows to emerging markets in recent years, including the composition of capital flows, intraregional flow patterns, and the geographical distribution of the flows. A theoretical model that sheds new light on these observed patterns is developed. This model focuses on the cost of financing aspect of capital flows, and shows that the patterns of capital flows are influenced by the combined effects of financial market development and growth potential in the recipient countries. The theoretical predictions of the model are shown to be consistent with the stylized facts.
Author: Maria Sole Pagliari Publisher: International Monetary Fund ISBN: 147558525X Category : Business & Economics Languages : en Pages : 58
Book Description
Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period 1970Q1-2016Q1, we construct three measures of volatility, for total capital flows and key instruments. Second, we perform panel regressions to understand the determinants of volatility. The measures show that the volatility of all instruments is prone to bouts, rising sharply during global shocks like the taper tantrum episode. Capital flow volatility thus remains a challenge for policy makers. The regression results suggest that push factors can be more important than pull factors in explaining volatility, illustrating that the characteristics of volatility can be different from those of the flows levels.
Author: Shanti Jagannathan Publisher: ISBN: Category : Languages : en Pages : 36
Book Description
Increasing portfolio investment flows to emerging markets in the past few years have led to fears of a sudden reversal of these flows and possible portfolio switching (from one emerging market to another) among foreign investors. To assess the sustainability of such portfolio flows, the author examines econometrically whether portfolio investment flows to one region in the developing world are significantly related to those going to another region. This question has important policy implications for policymakers in developing countries who, in considering domestic policy reforms to attract foreign portfolio investment, want to ascertain whether financial flows from abroad are coming from an increasing pool of investible resources in the industrial world or whether they represent the same funds chasing different high-yield securities as emerging markets change. In other words, does a sort of quot;adding-upquot; constraint apply to these flows - do they function as substitutes or not? Or could these flows be complementary? The author analyzes new quarterly World Bank data on gross portfolio investment flows for eight emerging markets (India, Indonesia, Korea, Thailand, Argentina, Brazil, Chile and Mexico) for the period from the first quarter of 1989 to the second quarter of 1993. Results indicate an inverse relationship between total portfolio flows to emerging Asian stock markets and those to Latin America. This negative relationship holds for both debt portfolio flows and equity portfolio flows. There has been a surge of portfolio flows to developing countries in the 1990s, but developing countries must compete for those flows. In the long term, portfolio flows to well-performing countries will be sustained because of improved creditworthiness and proportionately greater investor interest. Increasing the pace of reform in an emerging stock market is essential for sustaining portfolio flows.
Author: Mahmood Pradhan Publisher: International Monetary Fund ISBN: 1463935129 Category : Business & Economics Languages : en Pages : 45
Book Description
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Author: Nordine Abidi Publisher: International Monetary Fund ISBN: 1475529554 Category : Business & Economics Languages : en Pages : 37
Book Description
This paper investigates to what extent low-income developing countries (LIDCs) characterized as frontier markets (FMs) have begun to be subject to capital flows dynamics typically associated with emerging markets (EMs). Using a sample of developing countries covering the period 2000–14, we show that: (i) average annual portfolio flows to FMs as a share of GDP outstripped those to EMs by about 0.6 percentage points of GDP; (ii) during years of heightened stress in global financial markets, portfolio flows to FMs dried up like those to EMs; and that (iii) FMs have become more integrated into international financial markets. Our findings confirm that, in terms of portfolio flows, FMs have become more similar to EMs than to the rest of LIDCs and are therefore more vulnerable to swings in global financial markets conditions. Accordingly, it is important to have in place frameworks to strengthen FMs’ resilience to adverse capital flows shocks.
Author: Mr.Luis Brandao-Marques Publisher: International Monetary Fund ISBN: 1513555561 Category : Business & Economics Languages : en Pages : 36
Book Description
An analysis of mutual-fund-level flow data into EM bond and equity markets confirms that different types of funds behave differently. Bond funds are more sensitive to global factors and engage more in return chasing than equity funds. Flows from retail, open-end, and offshore funds are more volatile. Global funds are more stable in their EM investments than “dedicated” EM funds. Differences in the stability of flows from ultimate investors play a key role in explaining these patterns. The changing mix of global investors over the past 15 year has probably made portfolio flows to EMs more sensitive to global financial conditions.
Author: Mr.Serkan Arslanalp
Author: Mr.Serkan Arslanalp
Author: Sudarshan Gooptu
Author: Serkan Arslanalp (Mr)
Author: Nasha Ananchotikul
Author: Mr.Mohsin S. Khan
Author: Maria Sole Pagliari
Author: Shanti Jagannathan
Author: Mahmood Pradhan
Author: Nordine Abidi
Author: Mr.Luis Brandao-Marques