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How Important is the Global Financial Cycle? Evidence from Capital Flows.

Author: Eugenio M Cerutti; Stijn Claessens; Andrew K Rose
Publisher: Washington, D.C. : International Monetary Fund, 2017.
Series: IMF Working Papers; Working Paper, no. 17/193.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows. We use capital flow data dis-aggregated by direction and type between 1990Q1 and 2015Q5 for 85 countries, and conventional techniques, models and metrics. Since the GFCy is an unobservable concept, we use two methods to represent it: directly observable variables in center economies often linked to it, such as the VIX; and  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Cerutti, Eugenio M.
How Important is the Global Financial Cycle? Evidence from Capital Flows.
Washington, D.C. : International Monetary Fund, ©2017
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Eugenio M Cerutti; Stijn Claessens; Andrew K Rose
ISBN: 9781484318331 1484318331 1484316606 9781484316603
OCLC Number: 1024269776
Description: 1 online resource (68 pages).
Contents: Cover; Contents; 1. Introduction and Motivation; 2. Literature Review; 3. Identifying the GFCy: Data, Methodology and a First Look; 4. Empirical Results; 5. Conclusion; References; Tables; 1. Importance of Common Phenomena for Goodness of Fit in Panel Regressions; 2. Importance of Common Phenomena for Goodness of Fit in Panel Regressions; 3. Country-Heterogeneous Responses to Common Phenomena in Panel Regressions; Figures; 1. Capital Flows and the VIX; 2. Capital Flow Factors and the VIX; 3. Capital Inflow Factors: Advanced and Emerging Economies. 4. Fear Measures and Factors from Asset/Commodity Prices5. Fit of Country Time-Series Capital Flow Regressions; 6. Fit of Country Time-Series Capital Flow Regressions; 7. Fit of Country Time-Series Capital Flow Regressions; 8. Fit of Country Time-Series Capital Flow Regressions; 9. Fit of Country Time-Series Capital Flow Regressions; 10. Capital Flows (%GDP) around quarters when VIX close>30; Appendix Tables; Appendix Figures.
Series Title: IMF Working Papers; Working Paper, no. 17/193.

Abstract:

This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows. We use capital flow data dis-aggregated by direction and type between 1990Q1 and 2015Q5 for 85 countries, and conventional techniques, models and metrics. Since the GFCy is an unobservable concept, we use two methods to represent it: directly observable variables in center economies often linked to it, such as the VIX; and indirect manifestations, proxied by common dynamic factors extracted from actual capital flows. Our evidence seems mostly inconsistent with a significant and conspicuous GFCy; both methods combined rarely explain more than a quarter of the variation in capital flows. Succinctly, most variation in capital flows does not seem to be the result of common shocks nor stem from observables in a central country like the United States.

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