期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2008
卷号：1
出版社：European Central Bank
摘要：This paper analyses the impact of sovereign wealth funds (SWFs) on global fi nancial markets. It presents back-of-the-envelope calculations which simulate the potential impact of a transfer of traditional foreign exchange reserves to SWFs on global capital fl ows. If SWFs behave as CAPM-type investors and thus allocate foreign assets according to market capitalisation rather than liquidity considerations, offi cial portfolios reduce their “bias” towards the major reserve currencies. As a result, more capital fl ows “downhill” from rich to less wealthy economies, in line with standard neoclassical predictions. More specifi cally, it is found that under the assumption of SWFs investing according to market capitalisation weights, the euro area and the United States could be subject to net capital outfl ows while Japan and the emerging markets would attract net capital infl ows. It is also shown that these fi ndings are sensitive to alternative assumptions for the portfolio objectives of SWFs. Finally, the paper discusses whether a change in net capital fl ows triggered by SWFs could have an impact on stock prices and bond yields. Based on an event study approach, no evidence can be found for a stock price impact of non-commercially motivated stock sales by Norway’s Government Pension Fund
关键词：Sovereign wealth funds; capital;fl ows; foreign exchange reserves; fi nancial;markets.
