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Gross Private Capital Flows to Emerging Markets.

Author: Erlend Nier; Tahsin Saadi Sedik; Tomas Mondino
Publisher: Washington : International Monetary Fund, 2014.
Series: IMF Working Papers.
Edition/Format:  eBook : Document : English
Summary:
This paper assesses empirically the key drivers of private capital flows to a large sample of emerging market economies in the last decade. It analyzes the effect of the global financial cycle, measured by the VIX, on capital flows and investigates the role of fundamentals and country characteristics in mitigating or amplifying its effect. Using interaction models, we find the effect of the VIX to be non-linear. For  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Nier, Erlend.
Gross Private Capital Flows to Emerging Markets: Can the Global Financial Cycle Be Tamed?
Washington : International Monetary Fund, ©2014
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Erlend Nier; Tahsin Saadi Sedik; Tomas Mondino
ISBN: 9781498352925 1498352928
OCLC Number: 897070298
Description: 1 online resource (55 pages).
Contents: Cover Page; Title Page; Copyright Page; Abstract; Contents; Tables; Figures; I. Introduction; II. Methodology and Data; A. Empirical Strategy; 1. Stylized Facts; 1. Sample of Countries; 2. Variables; B. Data; 3. Summary Statistics; III. Regression Results; A. Baseline Regressions; 4. Baseline Regressions; B. Baseline Regressions with Non-linear Effects of VIX; 5. Baseline Regressions with VIX Interactions; 2. Marginal Effect Plots; IV. Other Key Questions; A. Has the Relative Importance of the Determinants of Flows Changed since the Crisis?; 6. Baseline Regression: Before and After Crisis. B. Do Banking Flows Differ from Portfolio Flows?C. Are Emerging Markets Different from Advanced Economies?; 7. Regressions with Bank and Other Flows as Dependent Variable; 8. Larger Sample Emerging and Advanced (Excluding Financial Centers); 9. Emerging, Advanced, and Financial Centers; V. Robustness Checks; 10. Robustness Tests; VI. Conclusion; References; Footnotes.
Series Title: IMF Working Papers.

Abstract:

This paper assesses empirically the key drivers of private capital flows to a large sample of emerging market economies in the last decade. It analyzes the effect of the global financial cycle, measured by the VIX, on capital flows and investigates the role of fundamentals and country characteristics in mitigating or amplifying its effect. Using interaction models, we find the effect of the VIX to be non-linear. For low levels of the VIX, capital flows are driven by fundamental factors. During periods of stress, the VIX becomes the dominant driver of capital flows while other determinants, wit.

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