国家风险如何影响双边债券类国际资产组合投资

Country Risk and Bilateral Debt Foreign Portfolio Investment

本文结合2001—2013年58个母国对86个东道国双边债券类FPI投资头寸数据,实证检验国家风险因素对双边债券类FPI的重要影响。研究发现:母国与东道国国家风险水平越高,双边债券类FPI头寸越小;国家风险因素从集约边际与扩展边际同时影响双边债券类FPI交易;国家风险因素对长期债券类FPI的影响高于短期债券类FPI,在金融危机后的影响大于在金融危机前的影响,即国家风险对双边债券类FPI的影响是全方位、多角度且不对称的。

Using debt FPI position data from 59 home countries to 87 host countries between 2001 and 2013, We analyze the influences of country risk factors on bilateral debt foreign portfolio investment(FPI) and find that:(1) The bilateral debt FPI position is negatively associated with the home and host countries' risks;(2) Country risks affect bilateral debt FPI from both the intensive margin and extensive margin;(3) The country risk's impact on long-term debt FPI is larger than the short-term, and that after the 2008 financial crisis is larger than before the crisis.