| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24761 |
| 来源ID | Working Paper 24761 |
| Benchmarking Portfolio Flows | |
| John D. Burger; Francis E. Warnock; Veronica Cacdac Warnock | |
| 发表日期 | 2018-07-02 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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. The relationship between our benchmark and actual flows is quite strong for emerging market economies (EMEs). For our sample of 28 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 one-year-ahead changes in inflows. For advanced economies (AEs), results are less impressive, but again the benchmark performs well in directional forecasting exercises. In practical terms, it is informative to distinguish between movements toward the benchmark as opposed to movements away from the benchmark. An example: While portfolio inflows to both Asian EMEs and Latin America plummeted in 2015, our benchmark analysis correctly predicted that inflows should rebound in Asia (because flows had fallen far below the benchmark) but stay near the new, low level in Latin America (where the sharp decline in inflows was back to benchmark levels). We provide similar analysis for 45 countries, both advanced and emerging, for the 2000 to 2017 period. |
| 主题 | International Economics ; International Factor Mobility ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24761 |
| 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/582434 |
| 推荐引用方式 GB/T 7714 | John D. Burger,Francis E. Warnock,Veronica Cacdac Warnock. Benchmarking Portfolio Flows. 2018. |
| 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 | ||
| w24761.pdf（911KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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