Anti-dumping Policies and International Portfolio Allocation:The View from the Global Funds

Anti-dumping policies,as one of the most important nontariff measures to protect a country's economic interests,can have an impact not only on a country's trade and social welfare,but also on capital fows.Anti-dumping measures can result in increased trade costs and alterations to exchange rate risk.This study investigates the impact of anti-dumping sanctions on the international portfolio allocations of global funds.Anti-dumping policies can decrease the proportion of a fund's investment portfolio allocated to recently-sanctioned countries.Closer trade ties between the sanctioned country and the country where a fund is domiciled exacerbate the divestiture,but stronger foreign direct investment links weaken the negative association.Some country and fund heterogeneities are also discussed.We find that more developed countries are less affected by the impact of anti-dumping measures on equity fund allocations;liberalization of the economy and stable government could also mitigate the negative impact of anti-dumping sanctions.High-risk funds,such as growth funds or funds that invest in leveraged buyouts,showed the greatest response to changes in anti-dumping regulations.

Guest Editors'Words

This special issue focuses on the challenges facing the Chinese economy and the global economy in a changing environment.These challenges include trade conflicts,financial instability,geopolitical risks of international investment,monetary policy spillovers,and innovations.The general theme is that policymakers should adjust to this new environment to better cope with the risks and challenges.Moreover,international cooperation has become particularly important in this new era.This special issue consists of eight papers addressing these challenges and the policy choices.

Tail Causality between Crude Oil Price and RMB Exchange Rate

In this paper we assess the causal relationship between international crude oil price changes and the RMB exchange rate using daily information from 21 July 2005 to 5 April 2017.In addition to linear causality tests,we employ quantile causality test to.identify prior imperceptible causplity in quantiles.We find a causal relationship from crude oil price to exchange rate at each quantile interval,but the reverse only appears in tail.This may help to explain why a traditional linear test fails to capture the causality from exchange rate to crude oil price as the quantile causalities in tails are canceled out by each other:Moreover;using RMB as the settlement currency in crude oil trade can weaken the prior significant causal relationships between crude oil price and exchange rate,whereas the reform of exchange rate marketization reignites the tail causalities from exchange rate to crude oil price.These findings recommend a wider use of domestic currencies in crude oil trade to avoid risk from the crude oil market.

Tail causalities between monetary supply and real estate prices in China

The asymmetric and segmented causality between the monetary policy and real estate market in China is crucial but remains mystery.With the application of quantile causality test,this article investigates nonlinear dependence between property prices and money supply.Our results show that the tail causality exists in many cities in China.Moreover,we find that small-sized cities and inland cities are more sensitive to the broad money(M2)changes when the housing market return is in the tail quantile intervals.These findings can help the Chinese government formulate appropriate monetary policies regarding their implications in the real estate market.