Bilateral portfolio dynamics during the global financial crisis |
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| Institution: | 1. Faculty of Finance, Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ, UK;2. CEPR, UK;3. Department of Economics and Finance, University of Guelph, Guelph, Ontario N1G 2W1, Canada;4. Central Bank of Chile, Agustinas 1180, Santiago, Chile;1. Federal Reserve Bank of Dallas, 2200 N. Pearl St., Dallas, TX 75204, USA;2. Department of Economics, University of Virginia, 248 McCormick Rd., Charlottesville, VA 22903, USA;3. NBER, USA;1. Federal Reserve Board, Mail Stop #89, 20th Street & Constitution Ave. NW, Washington, DC 20551;2. The Wharton School, University of Pennsylvania, 3620 Locust Walk, Philadelphia, PA 19104;3. Department of Economics, University of Chicago, 1126 East 59th Street, Chicago, IL 60637 |
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| Abstract: | There has been considerable bilateral variation in the pattern of portfolio capital flows during the global financial crisis: for a given destination, investors from different countries adjusted their holdings to different degrees. We show that the size of the initial bilateral holding, geographical distance, common language, the level of trade and common institutional linkages help to explain the pattern of adjustment. These bilateral factors are more important for equities than for bonds and for investors from developing countries than for investors from advanced countries. |
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