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Fabio Cortes and Luca Sanfilippo

-End Funds: Size and Change 3. Stylized Presentation of Literature Strands on EM Risks Due to International Investment Fund Portfolio Debt Flows 4. Multi-Sector Bond Funds: Size and EM Exposure 5. Multi-Sector Bond Funds Portfolio Allocation 6. Multi-Sector Bond Funds Portfolio Concentration 7. Heatmap of MSBF Concentration in Selected EM Sovereign Debt 8. Multi-Sector Bond Fund Concentration in Decision-Making 9. Investment Fund Active Shares 10. Leverage in Regulated Bond Funds 11. Case Study 12. Multi-Sector Bond Funds Fixed Income Holdings: By

Fabio Cortes and Luca Sanfilippo
Emerging economies in the post-crisis period increasingly saw portfolio debt inflows from a type of large international investment fund: Multi-Sector Bond Funds (MSBFs). These investors have lacked adequate representation in the literature. This paper constructs a new detailed database from micro-level MSBF emerging market (EM) holdings from 2009:Q4–2018:Q2. Exploiting this data, the paper assesses the risks they pose to the financial stability of specific emerging bond markets. The data shows that MSBFs are highly concentrated–both in their positions and their decision-making. The empirical results further suggest that MSBFs exhibit opportunistic behavior (and more so than other investment funds). In periods of high risk aversion, large MSBF portfolio reallocations out of EMs can be associated with underperformance of the same markets, signaling the importance of monitoring their footprint and better understanding their asset allocation decisions.
Fabio Cortes and Luca Sanfilippo

increasingly important group of foreign portfolio investors that is the subject of this paper: large multi-sector bond funds. In the relatively thin body of work that studies (i) EM bond funds (ii) at the micro level, our paper ties into different, albeit related literature strands that focus on risks in EMs due to (1) the type of investment fund; (2) investment fund end-investor behavior; (3) contagion channels ( Figure 3 ). Figure 3. Stylized Presentation of Literature Strands on EM Risks Due to International Investment Fund Portfolio Debt Flows First, this

Mr. R. G Gelos, Lucyna Gornicka, Mr. Robin Koepke, Ms. Ratna Sahay, and Ms. Silvia Sgherri

Figure 5: Conditional Densities for Portfolio Debt Flows in the Medium Term Figure 6: Global Shocks, Policy Regimes, and Structural Country Characteristics in the Short Term Figure 7: Global Shocks and Structural Country Characteristics, Medium Term Figure 8: Domestic Policies and Structural Characteristics and the Impact of Global Shocks on Gross Portfolio Flows Figure 10: Capital Flows at Risk over Short Term Figure 11. Country-Specific Conditional Forecast Densities of Short-Term Portfolio Flows, 2017: Q3 vs 2018: Q3 Figure 12: Impact of a Risk