This paper explores empirically the role
of risk and return in the observed evolution of net foreign
asset positions of industrial and developing economies. The
paper adopts a dynamic approach in which investors'
portfolios adjust gradually to their long-run equilibrium,
defined by a standard Tobin-Markowitz framework. The
parameters characterizing the long-run equilibrium are
estimated using data on foreign assets and liabilities of a
large number of industrial and developing countries spanning
the period from 1965 to 1997. The paper employs a dynamic
panel estimation procedure allowing for unrestricted
short-run heterogeneity across countries, using the pooled
mean group estimator recently developed by Pesaran, Shin,
and Smith (1999). The empirical results lend considerable
support to the model when applied to countries with low
capital controls and/or high and upper-middle income. The
results for countries with either high capital controls or
low per capita income are less supportive of the stock
equilibrium model for net foreign asset positions.
Bibliographic Details
| Main Authors: |
Calderon, Cesar,
Loayza, Norman,
Serven, Luis |
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| Format: | Policy Research Working Paper
biblioteca
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| Language: | English
en_US |
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| Published: |
World Bank, Washington, DC
2003-05
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| Subjects: | CAPITAL FLOWS,
CAPITAL CONTROLS,
PER CAPITA INCOME,
ASSET OWNERSHIP,
DIVERSIFICATION,
GROSS DOMESTIC PRODUCT,
PORTFOLIO COMPOSITION,
PORTFOLIO INVESTMENT FLOWS ANNUAL OBSERVATIONS,
ASSETS,
BALANCE OF PAYMENTS,
BONDS,
CAPACITY BUILDING,
CENTRAL BANK,
DEBT,
DEVELOPMENT INDICATORS,
DOMESTIC INVESTMENT,
ECONOMIC ACTIVITY,
ECONOMIC PERFORMANCE,
EMERGING MARKETS,
EMPIRICAL ANALYSIS,
EQUILIBRIUM,
EQUILIBRIUM MODELS,
EXCHANGE RATE,
EXPECTED RETURN,
EXPECTED RETURNS,
EXPORTS,
FACTOR MARKETS,
FINANCIAL MARKETS,
FOREIGN ASSETS,
FOREIGN CURRENCY,
FOREIGN INVESTMENT,
FOREIGN INVESTORS,
GDP,
GDP PER CAPITA,
GROWTH RATE,
HUMAN CAPITAL,
IMPERFECT INFORMATION,
IMPORTS,
INCOME,
INDUSTRIAL ECONOMIES,
INFLATION,
IRREVERSIBILITY,
LABOR INPUTS,
LOW-INCOME COUNTRIES,
MACROECONOMICS,
MARGINAL COSTS,
MARKET FACTORS,
MARKET INCENTIVES,
MIDDLE INCOME COUNTRIES,
NATURAL RESOURCES,
OPTIMIZATION,
PERMANENT INCOME,
PERMANENT INCOME HYPOTHESIS,
POLICY RESEARCH,
PORTFOLIO,
PROFITABILITY,
PROPERTY RIGHTS,
REAL GDP,
RISK MEASUREMENT,
SCALE ECONOMIES,
TERMS OF TRADE,
TIME SERIES,
TOTAL FACTOR PRODUCTIVITY,
TRANSACTION COSTS,
WEALTH,
PORTFOLIO INVESTMENT FLOWS,
ANNUAL OBSERVATIONS, |
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| Online Access: | http://documents.worldbank.org/curated/en/2003/05/2390970/capital-flows-respond-risk-return
http://hdl.handle.net/10986/18215
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