How to Interpret the CPIS Data on the Distribution of Foreign Portfolio Assets in the Presence of Sizeable Cross-Border Positions in Mutual Funds - Evidence for Italy and the Main Euro-Area Countries

42 Pages Posted: 21 Oct 2008

Date Written: August 18, 2008

Abstract

The data collected by the IMF in the Coordinated Portfolio Investment Survey (CPIS) provide a unique source for foreign portfolio asset holdings, with details on the breakdown by instrument and counterpart country. In the presence of sizeable cross-border positions in mutual funds, which are indistinctly classified as equity assets, the economic interpretation of the instrument and geographic composition of a country's foreign assets might be distorted. The instrument composition tends to be skewed towards equity assets; the geographical one tends to be biased towards the countries hosting the mutual funds. This is the case of Italy, whose position in Irish and Luxembourgian mutual funds represents more than half of its entire foreign portfolio equity assets. France, Germany and Spain are in a similar, yet less disproportionate, situation. The paper proposes a correction method in order to 'pierce the veils' introduced by positions in foreign mutual funds.

Keywords: CPIS, asset allocation, mutual funds, index of foreign bias

JEL Classification: F36, G11

Suggested Citation

Monti, Paola and Felettigh, Alberto, How to Interpret the CPIS Data on the Distribution of Foreign Portfolio Assets in the Presence of Sizeable Cross-Border Positions in Mutual Funds - Evidence for Italy and the Main Euro-Area Countries (August 18, 2008). Bank of Italy Occasional Paper No. 16, Available at SSRN: https://ssrn.com/abstract=1287627 or http://dx.doi.org/10.2139/ssrn.1287627

Paola Monti

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Alberto Felettigh (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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