A Portfolio Approach to a Cross-Sectoral and Cross-National Investment Strategy in Transition Economies
AbstractThis 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 environment, which affect the project through its input-output structure and its financial balance sheet. Among the macroeconomic determinants of enterprise behavior we consider 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 inflation. We evaluate the attractiveness of alternative investment strategies and provisioning rules from the perspective of portfolio theory.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 5882.
Date of creation: Jan 1997
Date of revision:
Publication status: published as The Economics of Transition, Vol.5, no.1 (1997), pp.63-96.
Note: IFM ME
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Other versions of this item:
- Willem H. Buiter & Ricardo Lago & Hélène Rey, 1997. "A portfolio approach to a cross-sectoral and cross-national investment strategy in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 5(1), pages 63-96, 05.
- Buiter, Willem H & Lago, Ricardo & Rey, Hélène, 1997. "A Portfolio Approach to a Cross-sectoral and Cross-National Investment Strategy in Transition Economies," CEPR Discussion Papers 1548, C.E.P.R. Discussion Papers.
- W.H. Buiter & R Lagos & H Rey, 1997. "A Portfolio Approach to a Cross-Sectoral and Cross-National Investment Strategy in Transition Economics," CEP Discussion Papers dp0320, Centre for Economic Performance, LSE.
- P27 - Economic Systems - - Socialist Systems and Transition Economies - - - Performance and Prospects
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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