| Description |
1 online resource (34 pages) |
| Series |
IMF Working Paper ; WP/19/181 |
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IMF working paper ; WP/19/181.
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| Contents |
Cover; Contents; Abstract; I. Introduction; II. Literature; III. Data; IV. Empirical Analysis; A. Definition of connection variables; B. Construction of comovement variables; C. Empirical results: the case of the United States; D. Empirical results: top 20 portfolio investment asset economies; V. Theoretical Analysis; A.A model to rationalize the empirical findings; B. Other likely and unlikely mechanisms; VI. Extension; VII. Conclusion; VIII. References; IX. Annexes; A. Position of the top 20 economies in the four connection databases |
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B. Correlation of U.S. international financial connectionsC. Subplots of Figure 1 with ISO2 label for each date; D.U.S. comovement vs connection, by economy; E. 5 robustness checks of U.S. Comovement vs Connection; F. Comovement vs Connection, top 6 Rp2 economies; Tables; 1. Connection Concepts with Highest Prediction Power; 2. Correlation Matrix of the U.S. International Financial Connections in Log; Figures; 1. Comovement vs Connection, Pooled; 2. Comovement vs Connection, by Date; 3. Comovement vs Connection, Alternative Comovement Statistics; 4. Comovement vs Connection, Alternative Connection Variable5. Comovement vs Connection, Government Bond Yield |
| Summary |
This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when the United States is chosen as the benchmark, a larger U.S. portfolio investment asset position on the destination economy predicts a stronger stock return comovement between them. For large economies such as the United States and Germany, the portfolio investment position is also the best predictor among other connection variables. The paper discusses with a simple general equilibrium portfolio model that the empirical pattern is consistent with the behavior of index investors who trade in response to risk-on/risk-off shocks |
| Notes |
Print version record |
| Subject |
International finance.
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International finance
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International investment position.
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Risk-off.
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Risk-on.
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Stock return comovement.
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| Form |
Electronic book
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| Author |
International Monetary Fund, issuing body.
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| ISBN |
1513512706 |
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9781513512709 |
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