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Author: Rabin Hattari
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Rabin Hattari
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Amrita Dhar
Publisher:
ISBN:
Category : Capital movements
Languages : en
Pages :
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This dissertation comprises two essays. The first essay uses a formal statistical model to identify episodes of extreme movements in capital flows in emerging markets. In particular, I employ a three state Markov switching model to characterize periods of extreme, high, and low net capital flows for a sample of 36 emerging markets using quarterly data on net private capital flows from 1980:Q1 to 2014:Q4. The model identifies 8% percent of the total sample as periods of extreme net inflows (\surges") and 3 percent of the total sample as extreme net outflows (\flights"). Compared to the literature, the model identifies fewer episodes as extreme, and the number of episodes varies substantially across countries. The second essay focus on the dynamic analysis of the effects of these extreme capital flows (surges and flights) on emerging markets' outcomes. The impact of surges and flights on emerging market's outcomes is still an open debate in the international finance literature. Using the surges and flights identified in my first essay, I revisit the question of impact of these extreme flows in capital on emerging markets' aggregate output, current account balance, real and nominal exchange rates. I deal with the potential bias issues from non random assignment of surges and flights using a propensity score method for time series data in a local projection framework and estimate the average effects of the extreme flows on country's outcomes. The results indicate that surges are contractionary in the medium horizon whereas the flights do not have any significant effect on output. The results also show a deterioration in current account balance. There is an appreciation of nominal exchange rate but there is no effect on real exchange rate.
Author: Sungcheol Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 177
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This dissertation examines the determinants of portfolio inflows to emerging market economies with a special focus on Korea. Chapter 1, "The Determinants of Disaggregated Capital Inflows to Korea", studies the key factors in determining portfolio investment flows to Korea from four separate investment groups: global banks, mutual funds, securities companies, and pension companies. I sort the total portfolio investment flows by each investment group such as global banks, mutual funds, securities companies, and pension companies. The US industrial production index, TED spread, and VIX are included as push factors and the Korean industrial production index, Korean bond rate, Korean stock index, and exchange rate are considered as pull factors. From the structural VAR model with dummy variables, this paper finds that portfolio investment flows to Korea are more affected by push factors during the crisis while they are more dependent on pull factors after the crisis. Portfolio investment flows to the stock market are affected mainly by the domestic stock market and global risk appetite while portfolio investment flows to the bond market react more strongly to US output growth and the domestic interest rate. Finally, this paper finds that the properties of capital inflows from each institution are quite different. For example, securities and mutual funds are more responsive to the stock market index, while insurance and pension companies are more sensitive to domestic output growth. Chapter 2, "The Determinants of Capital Inflows from Each Country", analyzes the determinants of portfolio flows to Korea using portfolio flows from each economy to Korea as the dependent variable. For the empirical model, the investor country factor was added to the existing push-pull approach, and a panel VAR model was used as the estimation method. The results suggest that investor country factors such as shocks on the interest rate and stock market in the investor country are the most important determinants to portfolio flows from advanced economies (AEs) while pull factors of recipient countries mainly drive the portfolio flows from emerging market economies (EMEs). The impact on the stock market is the dominant factor during the Fed's expansionary monetary policy, while the effects of the interest rate are the most important factor after the end of the QE. The results also show that portfolio flows from AEs respond positively to the impact of the investor country's stock market, while those from EMEs respond negatively. This study supports recent findings that the impact of the drivers on the capital flows is dependent on economic conditions and is time-varying. Chapter 3, "The International Spillovers of US Monetary Policy on Capital Flows to Emerging Market Economies", studies the impact of the US Fed's monetary policy on portfolio flows to the emerging economies, differentiating across the investor economies and type of flows. This paper also compares the effects of US monetary policy before and after the end of Quantitative Easing (QE). The results show that equity flows were retrenched to the US and AEs in response to the announcement of QE1 while the total impact of the Quantitative Easing increased the capital inflows to the emerging markets from the advanced economies. This chapter also finds that the response of portfolio flows in response to US monetary policy is conditional on the stance of US monetary policy. The findings build a bridge on the recent controversy over determinants of capital inflows by showing that QE has a significant impact on the capital inflows to EMEs, and its effects are related to the business cycle.
Author: Hui Miao
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 180
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Author: Maria Sole Pagliari
Publisher: International Monetary Fund
ISBN: 1475585268
Category : Business & Economics
Languages : en
Pages : 58
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Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period 1970Q1-2016Q1, we construct three measures of volatility, for total capital flows and key instruments. Second, we perform panel regressions to understand the determinants of volatility. The measures show that the volatility of all instruments is prone to bouts, rising sharply during global shocks like the taper tantrum episode. Capital flow volatility thus remains a challenge for policy makers. The regression results suggest that push factors can be more important than pull factors in explaining volatility, illustrating that the characteristics of volatility can be different from those of the flows levels.
Author: Swarnali Ahmed Hannan
Publisher: International Monetary Fund
ISBN: 1484378288
Category : Business & Economics
Languages : en
Pages : 22
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This paper documents the evolution of gross and net capital flows to emerging market economies and surveys the large literature on the potential drivers. While the capital flow landscape has been shaped by the evolution of both global and country-specific factors, the relative importance of these factors has varied over time and differs depending on the type of capital flows. The findings from the survey of the literature thus underscores the importance of policies in both source and recipient countries in shaping capital flows.
Author: Swarnali Ahmed Hannan
Publisher: International Monetary Fund
ISBN: 1475586787
Category : Business & Economics
Languages : en
Pages : 26
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Using a sample of 34 emerging markets and developing economies over the period 2009Q3-2015Q4, the paper employs a panel framework to study the determinants of capital flows, both net and gross, across a wide range of instruments. The baseline regressions are then extended to focus on high and low episodes – quarters with flows one standard deviation above/below mean. Overall, the results suggest that the capital flow slowdown witnessed in recent years is due to a combination of lower growth prospects of recipient countries and worse global risk sentiment. However, the determinants of flows can be considerably different across instruments and across the type of flows considered, net or gross. The sensitivity of certain types of flows, towards push and pull factors, increases during periods of high and low capital flows. Moreover, some variables may not necessarily be significant during normal times, but can be important drivers during such episodes, and vice versa. Indicators like the gap between the U.S. long- and short-term maturity bond yields – not significant during normal times – can be an important driver during high episodes.
Author: Reuven Glick
Publisher: Cambridge University Press
ISBN: 9780521623230
Category : Business & Economics
Languages : en
Pages : 148
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"This is a very timely book that brings the reader to the forefront of current research on macroeconomic policy issues in economies subject to sizable capital flows".--Guillermo A. Calvo, University of Maryland.
Author: Dominik Hueller
Publisher: GRIN Verlag
ISBN: 3656855102
Category : Business & Economics
Languages : en
Pages : 25
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Essay from the year 2014 in the subject Economics - International Economic Relations, grade: 1,0, University of Leipzig (Wirtschaftswissenschaftliche Fakultät), course: International Economics, language: English, abstract: The following essay will shortly define the key-terms Emerging-Market and Capital-Flows and subsequently show the historic development of Capital-Inflows to the defined countries. After the examination of the determinants of the International Capital Flows, the fourth part will deal with a topicality, the pending tampering of the US Federal Reserve’s Quantitative Easing and elaborate the consequences for the global capital-market situation.
Author: Anita Keshari Tuladhar
Publisher:
ISBN:
Category :
Languages : en
Pages : 430
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