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A portfolio approach to a cross-sectoral and cross-national investment strategy in transition economies

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  • Willem H. Buiter
  • Ricardo Lago
  • Hélène Rey

Abstract

This paper takes a systematic look at the portfolio choice problem faced by Investment Banks or Funds investing in transition economies. We relate the performance of projects in the transition economies to the broader macroeconomic and international environments, which affect the project through their input-output structures and financial balance sheets. Among the macroeconomic determinanst of enterprise behaviour are productivity growth, real wage growth, movements in the international terms of trade, shocks to the relative price of traded and non-traded goods, domestic and foreign interest rates, currency depreciation and the rate of inflaction. We evaluate the attractiveness of alternative investment strategies and provisioning rules from the perspective of portfoio theory. Copyright The European Bank for Reconstruction and Development, 1997.

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Bibliographic Info

Article provided by The European Bank for Reconstruction and Development in its journal Economics of Transition.

Volume (Year): 5 (1997)
Issue (Month): 1 (05)
Pages: 63-96

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Handle: RePEc:bla:etrans:v:5:y:1997:i:1:p:63-96

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  1. Obstfeld, Maurice, 1992. "Risk-Taking, Global Diversification, and Growth," CEPR Discussion Papers 688, C.E.P.R. Discussion Papers.
  2. Oliver Hart & John Moore, 1994. "Debt and Seniority: An Analysis of the Role of Hard Claims in Constraining Management," NBER Working Papers 4886, National Bureau of Economic Research, Inc.
  3. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
  4. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
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Cited by:
  1. French-German Economic Forum, 1999. "Reduction of Working Time," Working Papers 1999-13, CEPII research center.
  2. Buiter, Willem H & Lago, Ricardo & Rey, Hélène, 1997. "Enterprises in Transition: Macroeconomic Influences on Enterprise Decision-making and Performance," CEPR Discussion Papers 1601, C.E.P.R. Discussion Papers.

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