| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17358 |
| 来源ID | Working Paper 17358 |
| On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios | |
| Claudio Raddatz; Sergio L. Schmukler | |
| 发表日期 | 2011-08-25 |
| 出版年 | 2011 |
| 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 | International Economics ; International Finance ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w17358 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575032 |
| 推荐引用方式 GB/T 7714 | Claudio Raddatz,Sergio L. Schmukler. On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17358.pdf（419KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
