The cyclical properties of capital inflows in emerging market economies

This article empirically investigates the cyclical characteristics of capital inflows in 12 emerging economies from the perspectives of their durations, amplitudes and speeds. Among emerging economies, the duration of capital inflows is shown to be on average the longest in Europe while the amplitude of inflows the biggest and the speed of those the fastest in Asia. Furthermore, the threshold effects of cyclical factors on capital inflows are examined. According to a panel smooth transition regression model, there exist the thresholds of cyclical factors such as (excess) global liquidity growth, the change in U.S. long-term interest rate, the change in the VIX and the US dollar index growth, beyond which the impacts on capital inflows change significantly.