## figure1-23

## Source details

**Canonical URL:** [figure1-23](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-23.pdf)

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### Key findings
- In recent outflow episodes, EM benchmark-driven investors have reduced their holdings rapidly.
- Benchmark-driven flows are highly correlated across countries.
- Benchmark-driven flows are highly sensitive to external factors, such as risk appetite and US rates.
- This sensitivity to external factors has increased in recent years.
- An adverse external shock would result in much larger outflows today than a few years ago.
- Benchmark-driven investors play a major role in some emerging market sovereign debt markets.

### Estimated foreign holdings of local currency sovereign debt
- Panel title: "1. Estimated Foreign Holdings of Local Currency Sovereign Debt (Share of total in percent)"
- Countries listed: Ukraine, SouthAfrica, Malaysia, Turkey, Indonesia, Chile, Hungary, Mexico, Poland, Brazil, Lebanon, Korea
- Aggregate label: Average

### Correlations between country flows and overall EM flows
- Panel title: "2. Correlations between Flows to a Particular Emerging Market Country and Overall Emerging Market Flows"
- Data source/method note: Correlations are based on EPFR Global’s data on country-level flows via investment funds. EPFR estimates country-level flows based on assumptions about country portfolio weights; this tends to inflate estimated correlation coefficients. India and Thailand were excluded because inflows are dominated by domestic funds investing in their own country.
- Time axis labels included: 2010 12 14 16 18 17 15 13 11 (as presented)

### Sensitivity of debt flows to external shocks
- Panel title: "3. Sensitivity of Debt Flows to External Shocks (Percent of invested assets)"
- Shock types and labels shown:
  - Risk shock: BBB spread
  - Risk shock: VIX
  - Interest rate shock: US 10-year
  - Interest rate shock: Three-year Euro dollar rate
- Time markers shown: Jan. 14, Jan. 15, Jan. 16, Jan. 17, Jan. 18, Jan. 19, Jan. 2013
- Vertical axis values displayed in the figure: –3, –2, –1, 0

### Sensitivity of benchmark-driven debt flows
- Panel title: "4. Sensitivity of Benchmark-Driven Debt Flows to External Factors (Percent of invested assets)"
- Note: Coefficient estimates are calculated for a one standard deviation shock. In panels 4 and 5, coefficients are from a 36-month rolling regression.

### Estimated outflows from benchmark-driven investors
- Panel title: "5. Estimated Outflows from Benchmark-Driven Investors in Response to a One Standard Deviation Shock (Billions of US dollars)"
- Event labels and country grouping shown in figure:
  - Taper tantrum (2013)
  - RMB devaluation (2015)
  - Latest (Dec. 2018)
- Country list for panel 5 (order as shown): China, Russia, Chile, Turkey, Thailand, Peru, Indonesia, Brazil, Colombia, Hungary, Mexico, Poland, Malaysia, South Africa
- Horizontal axis values shown for panel 5: –20, –15, –10, –5, 0
- Distinction in bars: US interest rate shock vs Risk aversion shock

### Local currency government bonds held by nonresident investors
- Panel title: "6. Local Currency Government Bonds Held by Nonresident Investors (Percent of GDP)"
- Note: In panel 6, estimates assume that benchmark-driven investors and foreign investors follow closely the index weights. In reality, deviations for some countries can be substantial. In panel 6, the data are as of 2018:Q2.

### Additional numeric and axis labels appearing in figures
- Small-magnitude axis values shown in one panel: –0.1, 0.0, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7, 0.8, 0.9, 1.0
- Another axis with small negative range: –2.5, –2.0, –1.5, –1.0, –0.5, 0.0
- A timeline axis with integers: 0 2 4 6 8 10 12 14 16 18

*Sources: Bloomberg Finance L.P.; EPFR Global; JPMorgan Chase & Co; Arslanalp and Tsuda (2014); and IMF staff estimates.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-23.pdf_