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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

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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    Cited by:

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    2. repec:ire:issued:v:26:n:03:2023:p:342-391 is not listed on IDEAS
    3. Filippo Gori & Etienne Lepers & Caroline Mehigan, 2024. "Capital flow deflection under the magnifying glass," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3758-3778, July.
    4. Sariye Belgin Akcay, 2023. "Current Account Imbalances, House Prices, and Institutions," International Real Estate Review, Global Social Science Institute, vol. 26(3), pages 343-392.
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    7. Gao Meng & Eric Wincoop, 2020. "A Decomposition of International Capital Flows," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 68(2), pages 362-389, June.

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    More about this item

    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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