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How to interpret the CPIS data on the distribution of foreign portfolio assets in the presence of sizeable cross-border positions in mutual funds. Evidence for Italy and the main euro-area countries

Author

Listed:
  • Alberto Felettigh

    (Banca d'Italia)

  • Paola Monti

    (Banca d'Italia)

Abstract

The data collected by the IMF in the Coordinated Portfolio Investment Survey (CPIS) provide a unique source for foreign portfolio asset holdings, with details on the breakdown by instrument and counterpart country. In the presence of sizeable cross-border positions in mutual funds, which are indistinctly classified as equity assets, the economic interpretation of the instrument and geographic composition of a country�s foreign assets might be distorted. The instrument composition tends to be skewed towards equity assets; the geographical one tends to be biased towards the countries hosting the mutual funds. This is the case of Italy, whose position in Irish and Luxembourgian mutual funds represents more than half of its entire foreign portfolio equity assets. France, Germany and Spain are in a similar, yet less disproportionate, situation. The paper proposes a correction method in order to �pierce the veils� introduced by positions in foreign mutual funds.

Suggested Citation

  • Alberto Felettigh & Paola Monti, 2008. "How to interpret the CPIS data on the distribution of foreign portfolio assets in the presence of sizeable cross-border positions in mutual funds. Evidence for Italy and the main euro-area countries," Questioni di Economia e Finanza (Occasional Papers) 16, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_16_08
    as

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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2008-0016/QEF_16.pdf
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    References listed on IDEAS

    as
    1. Roberto A. De Santis, 2010. "The Geography of International Portfolio Flows, International CAPM, and the Role of Monetary Policy Frameworks," International Journal of Central Banking, International Journal of Central Banking, vol. 6(2), pages 147-197, June.
    2. repec:wbk:wbpubs:8151 is not listed on IDEAS
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    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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