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Benchmarking Portfolio Flows

Author

Listed:
  • John D. Burger

    (Loyola University Maryland)

  • Francis E. Warnock

    () (University of Virginia
    NBER)

  • Veronica Cacdac Warnock

    (University of Virginia)

Abstract

Abstract To gauge the amount of portfolio inflows a country can expect to receive, we create a benchmark, a longer-term baseline path around which actual flows fluctuate, for 45 countries for the 2000 to 2017 period. For EMEs, there is a significant long-run relationship between actual portfolio flows and our benchmark, flows adjust strongly toward the benchmark, and our benchmark helps predict 1-year-ahead changes in inflows. For AEs, the benchmark performs well in directional forecasting exercises. In practical terms, when assessing large movements in portfolio flows it is informative to distinguish between movements toward the benchmark and movements away from the benchmark.

Suggested Citation

  • John D. Burger & Francis E. Warnock & Veronica Cacdac Warnock, 2018. "Benchmarking Portfolio Flows," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(3), pages 527-563, September.
    • Handle: RePEc:pal:imfecr:v:66:y:2018:i:3:d:10.1057_s41308-018-0062-8
    DOI: 10.1057/s41308-018-0062-8
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    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F3 - International Economics - - International Finance
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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