Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251284 
Year of Publication: 
2021
Series/Report no.: 
Working Papers No. 2021-13
Publisher: 
Banco de México, Ciudad de México
Abstract: 
We exploit individual security holdings data for global mutual funds to distinguish between two reasons why a fund's holdings of emerging market economy (EME) bonds might change: (i) the amount invested in the fund changes and (ii) the fund manager changes portfolio allocations. We find that funds' responsiveness to global macroeconomic conditions, ''push factors'', is explained by investor flow decisions. Conversely, funds' responsiveness to local macroeconomic conditions, ''pull factors'', is explained by manager reallocation decisions. We also identify other institutional factors which impact reallocation decisions: their leverage, their benchmark, and risk appetite (funds reallocate towards safer EMEs when global risk increases).
Subjects: 
mutual funds
capital flows
emerging markets
portfolio allocation
JEL: 
F32
G11
G15
G23
Document Type: 
Working Paper
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