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Capital flows, push versus pull factors and the global financial crisis

Author: Marcel Fratzscher; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2011.
Series: Working paper series (National Bureau of Economic Research), no. 17357.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks -- key crisis events as well as changes to global liquidity and risk -- have exerted a large effect on capital flows both in the crisis and in the  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Marcel Fratzscher; National Bureau of Economic Research.
OCLC Number: 748280582
Description: 1 online resource (48 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 17357.
Responsibility: Marcel Fratzscher.

Abstract:

The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks -- key crisis events as well as changes to global liquidity and risk -- have exerted a large effect on capital flows both in the crisis and in the recovery. However, these effects have been highly heterogeneous across countries, with a large part of this heterogeneity being explained by differences in the quality of domestic institutions, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common factors ("push" factors) were overall the main drivers of capital flows during the crisis, while country-specific determinants ("pull" factors) have been dominant in accounting for the dynamics of global capital flows in 2009 and 2010, in particular for emerging markets.

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