On the international transmission of shocks: Micro-evidence from mutual fund portfolios

• 成果类型: Article
• 署名作者: Raddatz, Claudio; Schmulder, Sergio L.
• 署名单位: The World Bank
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.05.006
• 发表日期: 2012
• 页码: 357-374
• 关键词: contagion; crises; Global financial crisis; International capital flows; Mutual fund investors; Mutual fund managers

摘要

Using micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. The paper shows that the volatility of mutual fund investments is quantitatively driven by both the underlying investors and fund managers through (i) injections into/redemptions out of each fund and (ii) managerial changes in country weights and cash. Both investors and managers respond to country returns and crises and adjust their investments substantially, e.g., generating large reallocations during the global financial crisis. Their behavior tends to be pro-cyclical, reducing their exposure to countries during bad times and increasing it when conditions improve. Managers actively change country weights over time, although there is significant short-run pass-through from returns to country weights. Capital flows from mutual funds do not seem to have a stabilizing role and expose countries in their portfolios to foreign shocks. (C) 2012 Elsevier B.V. All rights reserved.