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How to interpret the CPIS data on the distribution of foreign portfolio assets in the presence of sizeable cross-border positions in mutual funds. Evidence for Italy and the main euro-area countries

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  • Alberto Felettigh

    ()
    (Banca d'Italia)

  • Paola Monti

    ()
    (Banca d'Italia)

Abstract

The data collected by the IMF in the Coordinated Portfolio Investment Survey (CPIS) provide a unique source for foreign portfolio asset holdings, with details on the breakdown by instrument and counterpart country. In the presence of sizeable cross-border positions in mutual funds, which are indistinctly classified as equity assets, the economic interpretation of the instrument and geographic composition of a country’s foreign assets might be distorted. The instrument composition tends to be skewed towards equity assets; the geographical one tends to be biased towards the countries hosting the mutual funds. This is the case of Italy, whose position in Irish and Luxembourgian mutual funds represents more than half of its entire foreign portfolio equity assets. France, Germany and Spain are in a similar, yet less disproportionate, situation. The paper proposes a correction method in order to ‘pierce the veils’ introduced by positions in foreign mutual funds.

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Bibliographic Info

Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Questioni di Economia e Finanza (Occasional Papers) with number 16.

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Date of creation: Aug 2008
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Handle: RePEc:bdi:opques:qef_16_08

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Keywords: CPIS; asset allocation; mutual funds; index of foreign bias;

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References

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  1. De Santis, Roberto A., 2006. "The geography of international portfolio flows, international CAPM and the role of monetary policy frameworks," Working Paper Series 0678, European Central Bank.
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Citations

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Cited by:
  1. Philip Lane & Gian Maria Milesi-Ferretti, 2010. "Cross-Border Investment in Small International Financial Centers," The Institute for International Integration Studies Discussion Paper Series iiisdp316, IIIS.
  2. Pierre Sola & Francesco Strobbe, 2011. "Addressing data gaps revealed by the financial crisis: European Central Bank statistics on holdings of securities," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 141-150 Bank for International Settlements.
  3. Kubelec, Chris & Sa, Filipa, 2010. "The geographical composition of national external balance sheets: 1980-2005," Bank of England working papers 384, Bank of England.
  4. Chris Kubelec & Filipa Sá, 2012. "Is Exchange Rate Stabilization an Appropriate Cure for the Dutch Disease?," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 143-189, June.
  5. Milesi-Ferretti, Gian Maria & Strobbe, Francesco & Tamirisa, Natalia, 2010. "Bilateral Financial Linkages and Global Imbalances: A View on The Eve of the Financial Crisis," CEPR Discussion Papers 8173, C.E.P.R. Discussion Papers.
  6. Sebnem Kalemli-Ozcan & Elias Papaioannou & José Luis Peydró, 2010. "Financial Regulation, Integration and Synchronization of Economic Activity," Koç University-TUSIAD Economic Research Forum Working Papers 1005, Koc University-TUSIAD Economic Research Forum, revised Apr 2010.
  7. Sascha O. Becker & Mathias Hoffmann, 2008. "Equity Fund Ownership and the Cross-Regional Diversification of Household Risk," CESifo Working Paper Series 2205, CESifo Group Munich.
  8. International Monetary Fund, 2010. "European Financial Linkages," IMF Working Papers 10/295, International Monetary Fund.
  9. Valeria Pellegrini & Enrico Tosti, 2012. "In search of lost capital: an estimation of undeclared portfolio assets," Questioni di Economia e Finanza (Occasional Papers) 131, Bank of Italy, Economic Research and International Relations Area.
  10. Philip R. Lane, 2011. "The Dynamics of Ireland?s Net External Position," The Institute for International Integration Studies Discussion Paper Series iiisdp388, IIIS.

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