کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963787 | 930441 | 2014 | 24 صفحه PDF | دانلود رایگان |
• An estimated global factor tracks the overall capital flow cycles well.
• The global factor is shown to reflect U.S. financial conditions.
• The bulk of gross inflows is explained by country-specific determinants.
• Regional factors are particularly important for emerging markets.
The present paper examines the degree of comovement of gross capital inflows, which is a highly sensitive issue for policy makers. We estimate a dynamic hierarchical factor model that is able to decompose inflows in a sample of 47 economies into (i) a global factor common to all types of flows and all recipient countries, (ii) a factor specific to a given type of capital inflows, (iii) a regional factor and (iv) a country-specific component. We find that the latter explains by far the largest fraction of fluctuations in capital inflows followed by regional factors, which are particularly important for emerging markets' FDI and portfolio inflows as well as bank lending to Emerging Europe. The global factor, however, explains only a small share of the overall variation. We also employ dynamic panel and time series regressions to explain the determinants of the estimated components. The global factor is shown to reflect U.S. financial conditions.
Journal: Journal of International Money and Finance - Volume 48, Part A, November 2014, Pages 101–124