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Capital Controls and International Portfolio Theory A Microeconomic Approach

This paper examines the effects of capital controls on asset prices. A closed-form valuation model by Eun and Janakirimanan (1986) is extended to analyze the impact of three restrictions on international portfolio investment: a percentage quantity constraint on the amount of foreign securities a dom...

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Bibliographic Details
Main Author: Rose, Marjorie
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1990
Series:IMF Working Papers
Subjects:
Price Level
Capital Market
Investments, Foreign
Investment & Securities
Finance
Foreign Assets
Financial Institutions
Foreign Direct Investment
General Financial Markets: General (includes Measurement And Data)
International Investment
Exports And Imports
Capital Markets
Balance Of Payments
Investments: General
Financial Markets
Inflation
International Economics
Financial Instruments
Macroeconomics
Deflation
External Position
Securities
Prices
Long-term Capital Movements
Asset Prices
Finance: General
Korea, Republic Of
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper examines the effects of capital controls on asset prices. A closed-form valuation model by Eun and Janakirimanan (1986) is extended to analyze the impact of three restrictions on international portfolio investment: a percentage quantity constraint on the amount of foreign securities a domestic resident may hold in her portfolio; a constraint on the absolute amount of foreign securities a domestic resident may hold; and a percentage tax on the domestic purchase price of a foreign security. Comparative statics and numerical analysis are used to reveal the effects of these distortions on domestic and world equilibrium prices
Physical Description:24 pages
ISBN:9781451970579

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