Arbeitspapier
Net Capital Flows and Portfolio Diversification
This paper presents a new explanation for the sustained pattern of international net capital flows by modifying the standard consumption capital asset pricing model (CCAPM) to create net capital flows beyond the initial period. In addition to the well established link between asset returns and the cyclical correlation between countries in standard CCAPM models, our model links asset flows to the cyclical correlation. In particular, the model predicts that a country that has a low correlation with the global cycle should see net capital inflows. We provide strong empirical evidence in support of this link and a 0.1 increase in the correlation leads to a 0.5-0.7 percentage point decrease in the net capital inflows as a % of GDP.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 7883
- Klassifikation
-
Wirtschaft
Financial Aspects of Economic Integration
Economic Growth of Open Economies
- Thema
-
net capital flows
productivity
growth
portfolio diversification
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bürgi, Constantin
Bobic, Vida
Wu, Min
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bürgi, Constantin
- Bobic, Vida
- Wu, Min
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2019
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