| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9070 |
| DP9070 On the International Transmission of Shocks: Micro-Evidence From Mutual Fund Portfolios | |
| Sergio Schmukler; Claudio Raddatz | |
| 发表日期 | 2012-08-12 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | This paper uses micro-level data on mutual funds from different financial centers investing in equity and bonds to study how investors and managers behave and transmit shocks across countries. The paper finds that the volatility of mutual fund investments is driven quantitatively by both the underlying investors and fund managers through (i) injections/redemptions into each fund and (ii) managerial changes in country weights and cash. Both investors and managers respond to country returns and crises and adjust their investments substantially, for example, generating large reallocations during the global crisis. Their behavior tends to be pro-cyclical, reducing their exposure to countries during bad times and increasing it when conditions improve. Managers actively change country weights over time, although there is significant short-run pass-through from returns to these weights. Consequently, capital flows from mutual funds do not seem to have a stabilizing role and expose countries in their portfolios to foreign shocks. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Contagion Crises Global financial crisis International capital flows Mutual fund managers Mutual fund investors |
| URL | https://cepr.org/publications/dp9070 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537916 |
| 推荐引用方式 GB/T 7714 | Sergio Schmukler,Claudio Raddatz. DP9070 On the International Transmission of Shocks: Micro-Evidence From Mutual Fund Portfolios. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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