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We present a readily available monthly measure of the intensity of capital controls across 29 emerging market countries that is based on the degree of restrictions on foreign ownership of equities. The initial opening of a market as given by our measure corresponds well with the liberalization dates of Bekaert and Harvey (2000a). In addition, our measure provides information on the extent of the initial opening as well as the evolution of the liberalization over time. After presenting the measure, we compare it to other existing measures of capital controls and briefly describe empirical applications concerning home bias, capital flows to emerging markets, and the effects of financial liberalization on the cost of capital.

Exports and Imports --- Finance: General --- Investments: Stocks --- International Financial Markets --- General Financial Markets: General (includes Measurement and Data) --- International Investment --- Long-term Capital Movements --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Financial Markets and the Macroeconomy --- Finance --- International economics --- Investment & securities --- Capital controls --- Emerging and frontier financial markets --- Stocks --- Market capitalization --- Stock markets --- Balance of payments --- Financial markets --- Financial institutions --- Financial services industry --- Capital movements --- Stock exchanges --- Korea, Republic of

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We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We document, as expected, that at a point in time U.S. portfolios are tilted towards firms that are large, have fewer restrictions on foreign ownership, or are cross-listed on a U.S. exchange. The size of the cross-listing effect is striking. In contrast to the well-documented underweighting of foreign stocks, emerging market equities that are cross-listed on a U.S. exchange are incorporated into U.S. portfolios at full international capital asset pricing model (CAPM) weights. Our results suggest that information asymmetries play an important role in equity home bias and that the benefits of international risk sharing are limited to select firms.

Stock ownership --- Securities --- Stocks --- Common shares --- Common stocks --- Equities --- Equity capital --- Equity financing --- Shares of stock --- Stock issues --- Stock offerings --- Stock trading --- Trading, Stock --- Bonds --- Corporations --- Going public (Securities) --- Stock repurchasing --- Stockholders --- Finance: General --- Investments: General --- Investments: Stocks --- International Financial Markets --- General Financial Markets: General (includes Measurement and Data) --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Financial Markets and the Macroeconomy --- Finance --- Investment & securities --- Emerging and frontier financial markets --- Market capitalization --- Stock markets --- Financial institutions --- Financial markets --- Financial services industry --- Stock exchanges --- Financial instruments --- United States

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Partly reflecting structural advantages such a liquidity and strong investor protection, foreigners have built up extremely large positions in U.S. (as well as other dollar-denominated) financial assets. This paper describes the impact on global wealth of an unanticipated shock to U.S. financial markets. For every 10 percent decline in the dollar, U.S. equity markets, and U.S. bond markets, total wealth losses to foreigners could amount to about 5 percentage points of foreign GDP. Four stylized facts emerge: (i) foreign countries, particularly emerging markets, are more exposed to U.S. bonds than U.S. equities; (ii) U.S. exposure has increased for most countries; (iii) on average, U.S. asset holdings of developed countries and emerging markets (scaled by GDP) are very similar; and (iv) based on their reserve positions, wealth losses of emerging market governments could, on average, amount to about 2¾ percentage points of their GDP.

Asset-liability management. --- Electronic books. -- local. --- Portfolio management. --- Investment management --- Asset-liability management (Banking) --- Funds management --- Investment analysis --- Investments --- Securities --- Financial institutions --- Management --- Finance: General --- Investments: General --- Investments: Bonds --- Investments: Stocks --- Foreign Exchange --- Current Account Adjustment --- Short-term Capital Movements --- International Lending and Debt Problems --- International Finance Forecasting and Simulation --- General Financial Markets: General (includes Measurement and Data) --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Investment & securities --- Finance --- Emerging and frontier financial markets --- Bonds --- Stocks --- Securities markets --- Financial markets --- Financial services industry --- Financial instruments --- Capital market --- United States

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Forbes and Warnock (2012) identify episodes of extreme capital flow movements—surges, stops, flight, and retrenchment—and find that global factors, especially global risk, are significantly associated with extreme capital flow episodes, whereas domestic macroeconomic characteristics and capital controls are less important. That analysis leads naturally to the question of which types of capital flows are driving the episodes and if debt- and equity-led episodes differ in material ways. After identifying debt- and equity-led episodes, we find that most episodes of extreme capital flow movements around the world are debt-led and the factors associated with debt-led episodes are similar to the factors behind episodes identified with aggregate capital flow data. In contrast, equity-led episodes are less frequent, more idiosyncratic, and differ in nature from other episodes.

Zonder onderwerpscode: economie