International capital flows to emerging markets: National and global determinants

• We examine the nature and determinants of aggregate and disaggregate portfolio flows to emerging markets.
• We identify substantial comovement in gross capital inflows, evidenced by a common factor originating in the global environment.
• Capital inflows are driven by commodity prices, US rates of return, uncertainty and growth in advanced economies.
• Financial openness and the quality of institutions are important country specific characteristics driving capital inflows.
• There is a common factor in the volatility of capital inflows, related to commodity prices and US interest rates.

Using a novel dataset for emerging markets, we empirically investigate the nature and determinants of aggregate and disaggregate capital inflows. We present formal statistical evidence of commonalities in capital inflows, with the strongest evidence for the level of equity and bank flows. Advanced economy long-run bond yields and commodity prices are identified as determinants of global capital flows. We also consider the national determinants of capital flows, finding that financial openness and institutions matter for country flows. Finally, we identify important commonalities in the volatility of bank inflows.