Skip to Main Navigation

Swept by the Tide The International Comovement of Capital Flows (Inglês)

This paper assesses the international comovement of gross capital flows in a setting simultaneously encompassing aggregate inflows and outflows. It uses as empirical framework a multilevel latent factor model, implemented on flow data for a large sample of countries over more than three decades. On average, common shocks account for over 40 percent of the variance of both inflows and outflows, although with major differences between advanced countries and the rest. Among the former, global and group shocks dominate capital flows, and the same shocks drive gross inflows and outflows. Among the latter countries, idiosyncratic shocks tend to play the leading role, and gross inflows exhibit less commonality with outflows. The latent factors configure an international financial cycle that closely tracks the trends in a handful of global "push" variables. Recursive estimation of the factor model reveals a rising trend in the exposure of countries' flows to the international cycle—especially for advanced economies—up to the global financial crisis. Exposure to the cycle is robustly related to countries' external financial openness and the (lack of) flexibility of their exchange rate regime.

Detalhes

  • Autor

    Fernandez Lafuerza,Luis Gonzalo, Serven,Luis

  • Data do documento

    2019/03/21

  • TIpo de documento

    Documento de trabalho sobre pesquisa de políticas

  • No. do relatório

    WPS8787

  • Nº do volume

    1

  • Total Volume(s)

    1

  • País

    Mundo,

  • Região

    Regiões Mundiais,

  • Data de divulgação

    2019/03/21

  • Disclosure Status

    Disclosed

  • Nome do documento

    Swept by the Tide ? The International Comovement of Capital Flows

  • Palavras-chave

    global factor; factor model; emerging country; real effective exchange rate; advanced country; exchange rate regime; real exchange rate; open capital account; interest rate change; perceptions of risk; emerging market economy; primarily due; degrees of freedom; capital account openness; portfolio investment asset; measures of risk; determinant of capital; panel data set; global interest rates; asset and liability; standard deviation; factor loading; idiosyncratic shock; principal component; advanced economy; risky asset; standard error; negative correlation; commodity price; portfolio equity; estimation technique; national economy; Exchange Rates; empirical result; direct investment; covariance matrix; risk measure; international investor; disaggregated level; rising trend; sample period; idiosyncratic error; empirical exercise; consistent estimate; external shock; reserve asset; international positions; point estimate; debt crisis; local condition; investment liability; disaggregated analysis; small country; increased openness; trend break; risk perception; idiosyncratic factors; unnecessary restriction; sovereign debt; spatial model; equity price; empirical approaches; bilateral trade; positive correlation; cross-border banking; banking network; aggregate capital; lag effect; bank lending; business cycle; diagonal matrix; foreign asset; domestic asset; empirical analysis; international capital; suitable extension; exogenous input; macroeconomic perspective; international market; global commodity; Market Risk; corporate bond; e-mail address; risk aversion; data availability; multivariate regression; vector autoregression; development policy; empirical research; open access; causal relationship; lagged dependent; capital flow; financial openness; financial crisis; global flows; transition matrix; flow data; independent variable; financial cycle; lagged value; real appreciation; Emerging economies; push factor; idiosyncratic component; portfolio debt; empirical literature; Bank Credit; disproportionate share; estimation methodology; global shocks; emerging economy; global force; domestic policies

Downloads

COMPLETAR RELATÓRIO

Versão oficial do documento (pode conter assinaturas, etc.)

  • PDF oficial
  • TXT*
  • Total Downloads** :
  • Download Stats
  • *A versão do texto é um OCR incorreto e está incluído unicamente em benefício de usuários com conectividade lenta.