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Bilateral Portfolio Dynamics During the Global Financial Crisis

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  • Vahagn Galstyan

    ()
    (Trinity College Dublin, IIIS)

  • Philip Lane

    ()
    (Trinity College Dublin, IIIS and CEPR)

Abstract

There has been considerable bilateral variation in the pattern of portfolio capital flows during the global financial crisis: for a given destination, investors from different countries adjusted their holdings to different degrees. We show that the size of the initial bilateral holding, geographical distance, common language, the level of trade and common institutional linkages help to explain the pattern of adjustment. These bilateral factors are more important for equities than for bonds and for investors from developing countries than for investors from advanced countries.

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Bibliographic Info

Paper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp366.

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Length: 17 pages
Date of creation: Aug 2011
Date of revision:
Handle: RePEc:iis:dispap:iiisdp366

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Keywords: International capital flows; International portfolios; External adjustment;

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References

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  1. Aviat, Antonin & Coeurdacier, Nicolas, 2007. "The geography of trade in goods and asset holdings," Journal of International Economics, Elsevier, vol. 71(1), pages 22-51, March.
  2. Richard Portes & Hélène Rey, 2001. "The Determinants of Cross-Border Equity Flows," DELTA Working Papers 2001-08, DELTA (Ecole normale supérieure).
  3. Ralph De Haas & Neeltje Van Horen, 2011. "Running for the exit: international banks and crisis transmission," Working Papers 124, European Bank for Reconstruction and Development, Office of the Chief Economist.
  4. Cédric Tille & Eric van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York.
  5. Gian-Maria Milesi-Ferretti & Philip R. Lane, 2011. "External Adjustment and the Global Crisis," IMF Working Papers 11/197, International Monetary Fund.
  6. Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2004. "International Investment Patterns," CEPR Discussion Papers 4499, C.E.P.R. Discussion Papers.
  7. Lane, Philip R, 2005. "Global Bond Portfolios and EMU," MPRA Paper 654, University Library of Munich, Germany, revised 15 Feb 2006.
  8. Gian-Maria Milesi-Ferretti & Cedric Tille, 2011. "The Great Retrenchment: International Capital Flows During the Global Financial Crisis," Working Papers 382011, Hong Kong Institute for Monetary Research.
  9. Vahagn Galstyan & Philip Lane, 2010. "The Dynamics of Portfolio Holdings in Emerging Europe," The Institute for International Integration Studies Discussion Paper Series iiisdp346, IIIS.
  10. Sebastian Edwards, 2000. "Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies," NBER Books, National Bureau of Economic Research, Inc, number edwa00-1, octubre-d.
  11. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g708pipbp is not listed on IDEAS
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Cited by:
  1. Philip R. Lane, 2013. "Cross-Border Financial Integration in Asia and the Macro-Financial Policy Framework," World Economics, World Economics, Economic & Financial Publishing, 1 Ivory Square, Plantation Wharf, London, United Kingdom, SW11 3UE, vol. 14(2), pages 37-52, April.
  2. Philip R. Lane, 2012. "Financial Globalisation and the Crisis," BIS Working Papers 397, Bank for International Settlements.

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