主题：Uncertainty and Capital Flows: Evidence from Global Mutual Funds
报告人：Professor Yong Wang （汪勇），City university of Hongkong （香港城市大学）
Dr. Yong Wang is a professor at the City University of Hong Kong. He received his B.S. in Mathematics from University of Science and Technology of China and his Ph.D. in Economics from Brown University, USA. Dr. Yong Wang’s main research interests include economic growth and development, macroeconomics and public economics, and general economic theory. His work has been published in, among others, Economic Journal, International Economic Review, Journal of Economic Theory, and Journal of Public Economics.
The current paper examines portfolio adjustments by global mutual funds to uncertainty shocks. We first construct time-varying uncertainty measures from principal component analysis for a panel of both advanced and emerging economies. We then apply our uncertainty measures, both common and idiosyncratic, to a dataset of mutual fund allocations to study the interactions between uncertainty and investment decisions. We find that the global uncertainty plays an important role in mutual fund allocations while the impact of country-specific uncertainty is largely dormant. Furthermore, we establish evidence of varied responses to changes in uncertainty by equity and bond funds, respectively. In addition, our results suggest that the uncertainty impacts on mutual fund allocations are most pronounced during the period of last global financial crisis. We also discuss the explanations and implications of these findings.