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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
  • Helene 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 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 Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 5882.

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Date of creation: Jan 1997
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Publication status: published as The Economics of Transition, Vol.5, no.1 (1997), pp.63-96.
Handle: RePEc:nbr:nberwo:5882

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  1. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
  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. Maurice Obstfeld, 1992. "Risk-taking, global diversification, and growth," Discussion Paper / Institute for Empirical Macroeconomics 61, Federal Reserve Bank of Minneapolis.
  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. W.H. Buiter & R Lagos & H Rey, 1997. "Enterprises in Transition: Macroeconomic Influences on Enterprise Decision-Making and Performance," CEP Discussion Papers dp0340, Centre for Economic Performance, LSE.
  2. French-German Economic Forum, 1999. "Reduction of Working Time," Working Papers 1999-13, CEPII research center.

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