Working Paper: NBER ID: w22466
Authors: Vahagn Galstyan; Philip R. Lane; Caroline Mehigan; Rogelio Mercado
Abstract: Research on the geographical distribution of international portfolios has mainly focused on data aggregated to the country level. We exploit newly-available data that disaggregates the holders and issuers of international securities along sectoral lines. We find that patterns evident in the aggregate data do not uniformly apply across the various holding and issuing sectors, such that a full understanding of cross-border portfolio positions requires granular-level analysis.
Keywords: No keywords provided
JEL Codes: F21; F3
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Geographical factors (R12) | International portfolio allocation (G15) |
| Distance (R12) | International portfolio allocation (G15) |
| Common membership in Euro Area (F36) | Portfolio holdings (G11) |
| Distance (R12) | Portfolio holdings (G11) |
| Sectoral identity of holders and issuers (G23) | Cross-border portfolio positions (G15) |
| Distance (R12) | Bond holdings of government sector (H63) |
| Distance (R12) | Bond holdings of banks and sovereigns (H63) |
| Distance (R12) | Bond holdings of nonfinancial corporates (G32) |