NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios

Claudio Raddatz, Sergio L. Schmukler

NBER Working Paper No. 17358
Issued in August 2011
NBER Program(s):   IFM

This paper uses micro-level data on mutual funds from different financial centers investing in equity and bonds to study how investors and managers behave and transmit shocks across countries. The paper finds that the volatility of mutual fund investments is driven quantitatively by both the underlying investors and fund managers through (i) injections/redemptions into 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, for example, generating large reallocations during the global 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 these weights. Consequently, capital flows from mutual funds do not seem to have a stabilizing role and expose countries in their portfolios to foreign shocks.

download in pdf format
   (420 K)

email paper

This paper is available as PDF (420 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w17358

Published:

Users who downloaded this paper also downloaded these:
Fratzscher w17357 Capital Flows, Push versus Pull Factors and the Global Financial Crisis
Claessens, Tong, and Wei w17360 From the Financial Crisis to the Real Economy: Using Firm-level Data to Identify Transmission Channels
Dominguez, Hashimoto, and Ito w17362 International Reserves and the Global Financial Crisis
Cetorelli and Goldberg w17355 Liquidity management of U.S. global banks: Internal capital markets in the great recession
Barkbu, Eichengreen, and Mody w17361 International Financial Crises and the Multilateral Response: What the Historical Record Shows
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us