《IMF金融稳定报告》.pdf

r e t p Long-Term InvesTors and The Ir asseT aLLocaTIon: a h c 2 Where a re They noW? Summary he asset allocation decisions of investors are at the core of financial flows between markets, curren- cies, and countries. This chapter aims to identify the fundamental drivers for these decisions and determine whether their influence has been altered by the global financial crisis and the subse- Tquent low interest rate environment in advanced economies. In particular, the chapter investigates whether changes in investor behavior pose downside risks for global financial stability. To set the stage, the longer-term developments in global asset allocation show three main trends: (i) a gradual broadening of the distribution of assets across countries, implying a globalization of portfolios with a slowly declining home bias; (ii) a long-term decline in the share of assets held by pension funds and insurance companies in favor of asset management by investment companies; and (iii) the increasing importance of the official sector in global asset allocation through sovereign wealth funds and managers of international reserves. The analysis shows that private asset allocation is driven most strongly by positive growth prospects and falling risks in the recipient countries, while interest rate differentials between countries play a lesser role. The analysis does not, however, imply that capital flows in general do not respond to interest rate differentials, since other components, including investment flows of short-term leveraged investors (such as those from the carry trade)—which this chapter