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International investment positions and risk-sharing: an empirical analysis on the coordinated portfolio investment survey

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  • Filippo M. Pericoli
  • Eleonora Pierucci
  • Luigi Ventura

Abstract

We explore the determinants of bilateral portfolio investments and their dynamics by using data from nine waves of the IMF coordinated portfolio investment survey (CPIS). The main goal of our analysis is that of understanding whether a diversification motive can be found, among the various determinants. As diversification variable, we use the correlation between the idiosyncratic components of gross domestic product (GDP) growth and take into account unobserved heterogeneity by means of a country pair-fixed effect panel model. We find strong evidence that a diversification motive is relevant to explain bilateral portfolio holdings. It also turns out that investing in stocks of less synchronised partner economies contributes to income smoothing to some extent.

Suggested Citation

  • Filippo M. Pericoli & Eleonora Pierucci & Luigi Ventura, 2015. "International investment positions and risk-sharing: an empirical analysis on the coordinated portfolio investment survey," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 5(4), pages 364-391.
    • Handle: RePEc:ids:ijcome:v:5:y:2015:i:4:p:364-391
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    More about this item

    Keywords

    IMF CPIS; coordinated portfolio investment survey; risk sharing; gravity models; international investment positions; modelling; diversification; bilateral portfolio holdings; income smoothing.;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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