Download or read book Three Essays on Capital Inflows to Emerging Markets written by Sungcheol Kim and published by . This book was released on 2019 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines the determinants of portfolio inflows to emerging market economies with a special focus on Korea. Chapter 1, "The Determinants of Disaggregated Capital Inflows to Korea", studies the key factors in determining portfolio investment flows to Korea from four separate investment groups: global banks, mutual funds, securities companies, and pension companies. I sort the total portfolio investment flows by each investment group such as global banks, mutual funds, securities companies, and pension companies. The US industrial production index, TED spread, and VIX are included as push factors and the Korean industrial production index, Korean bond rate, Korean stock index, and exchange rate are considered as pull factors. From the structural VAR model with dummy variables, this paper finds that portfolio investment flows to Korea are more affected by push factors during the crisis while they are more dependent on pull factors after the crisis. Portfolio investment flows to the stock market are affected mainly by the domestic stock market and global risk appetite while portfolio investment flows to the bond market react more strongly to US output growth and the domestic interest rate. Finally, this paper finds that the properties of capital inflows from each institution are quite different. For example, securities and mutual funds are more responsive to the stock market index, while insurance and pension companies are more sensitive to domestic output growth. Chapter 2, "The Determinants of Capital Inflows from Each Country", analyzes the determinants of portfolio flows to Korea using portfolio flows from each economy to Korea as the dependent variable. For the empirical model, the investor country factor was added to the existing push-pull approach, and a panel VAR model was used as the estimation method. The results suggest that investor country factors such as shocks on the interest rate and stock market in the investor country are the most important determinants to portfolio flows from advanced economies (AEs) while pull factors of recipient countries mainly drive the portfolio flows from emerging market economies (EMEs). The impact on the stock market is the dominant factor during the Fed's expansionary monetary policy, while the effects of the interest rate are the most important factor after the end of the QE. The results also show that portfolio flows from AEs respond positively to the impact of the investor country's stock market, while those from EMEs respond negatively. This study supports recent findings that the impact of the drivers on the capital flows is dependent on economic conditions and is time-varying. Chapter 3, "The International Spillovers of US Monetary Policy on Capital Flows to Emerging Market Economies", studies the impact of the US Fed's monetary policy on portfolio flows to the emerging economies, differentiating across the investor economies and type of flows. This paper also compares the effects of US monetary policy before and after the end of Quantitative Easing (QE). The results show that equity flows were retrenched to the US and AEs in response to the announcement of QE1 while the total impact of the Quantitative Easing increased the capital inflows to the emerging markets from the advanced economies. This chapter also finds that the response of portfolio flows in response to US monetary policy is conditional on the stance of US monetary policy. The findings build a bridge on the recent controversy over determinants of capital inflows by showing that QE has a significant impact on the capital inflows to EMEs, and its effects are related to the business cycle.

Download or read book Three Essays on Portfolio Capital Flows to Emerging Markets written by Hui Miao and published by . This book was released on 1997 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Macroeconomic Impacts of Capital Flows and Policy Responses in Emerging Market Economies written by Dyna Heng and published by . This book was released on 2012 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis presents three essays on the macroeconomic impacts of capital flows and policy responses in emerging market economies. This study explores the impact of capital flows on real exchange rate and foreign reserve accumulation and the effects of policy responses on the volume and composition of capital inflows. Together, these studies form the argument that promoting financial sector development and government effectiveness helps emerging market economies manage and benefit more from capital inflows.

Download or read book Essays on Capital Flows in Emerging Markets written by Amrita Dhar and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises two essays. The first essay uses a formal statistical model to identify episodes of extreme movements in capital flows in emerging markets. In particular, I employ a three state Markov switching model to characterize periods of extreme, high, and low net capital flows for a sample of 36 emerging markets using quarterly data on net private capital flows from 1980:Q1 to 2014:Q4. The model identifies 8% percent of the total sample as periods of extreme net inflows (\surges") and 3 percent of the total sample as extreme net outflows (\flights"). Compared to the literature, the model identifies fewer episodes as extreme, and the number of episodes varies substantially across countries. The second essay focus on the dynamic analysis of the effects of these extreme capital flows (surges and flights) on emerging markets' outcomes. The impact of surges and flights on emerging market's outcomes is still an open debate in the international finance literature. Using the surges and flights identified in my first essay, I revisit the question of impact of these extreme flows in capital on emerging markets' aggregate output, current account balance, real and nominal exchange rates. I deal with the potential bias issues from non random assignment of surges and flights using a propensity score method for time series data in a local projection framework and estimate the average effects of the extreme flows on country's outcomes. The results indicate that surges are contractionary in the medium horizon whereas the flights do not have any significant effect on output. The results also show a deterioration in current account balance. There is an appreciation of nominal exchange rate but there is no effect on real exchange rate.

Download or read book The Volatility of Capital Flows in Emerging Markets written by Maria Sole Pagliari and published by International Monetary Fund. This book was released on 2017-03-07 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period 1970Q1-2016Q1, we construct three measures of volatility, for total capital flows and key instruments. Second, we perform panel regressions to understand the determinants of volatility. The measures show that the volatility of all instruments is prone to bouts, rising sharply during global shocks like the taper tantrum episode. Capital flow volatility thus remains a challenge for policy makers. The regression results suggest that push factors can be more important than pull factors in explaining volatility, illustrating that the characteristics of volatility can be different from those of the flows levels.

Download or read book Emerging Market Capital Flows the Labor Share and the Great U S Consumption Slowdown written by Vladimir Sulaja and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Institutions and the Cost of Foreign Capital of Emerging Markets written by Michal Paserman Shpiner and published by . This book was released on 2015 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Financial Liberalisation in Emerging Markets written by and published by . This book was released on 2007 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Emerging Capital Markets written by Qi Li and published by . This book was released on 2004 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Capital Flows in Emerging Markets written by Rabin Hattari and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Capital Flows Financial Development and Economic Growth in Less Developed Countries written by Heinz P. Rudolph and published by . This book was released on 1995 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Dynamics of International Reserve Accumulation in Emerging Market Economies written by Rajeswari Sengupta and published by . This book was released on 2011 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Capital Flows Banking Weakness and Real Exchange Rates in East Asia and Latin America written by Mohamed Hassan and published by . This book was released on 2002 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in International Macroeconomics and Finance written by Bada Han and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I study the changes in external liabilities and assets of emerging market economies since the early-2000s and the following implications of the changes for the financial stability and the optimal policies of the economies. In chapter 1, I construct a dataset, which measures the external liability composition of emerging market economies in different instruments and currencies. The new dataset shows emerging market economies have much lower currency exposures than in the past. Also, the observed pattern in the dataset suggests that the ever-increasing local currency external borrowings of the emerging market economies since the early 2000s, original sin dissipation, is related to the capital market development in emerging market economies. Chapter 2 is a study of channels through which risk-appetite shocks to global investors, i.e., global financial shocks, are transmitted to emerging market economies. First, I empirically show that much of the transmission of global financial shocks to emerging market economies is reflected in equity and local currency bond portfolio investment capital flows. I then develop a small open economy model which, augmented with leverage constrained banks and foreign investors who purchase equities and bonds, can replicate these empirical findings qualitatively. Quantitative analysis of the model suggests that global financial shocks can account for 50 % of the equity price volatility and 30 % of the investment volatility in Korea, in which most of the external liabilities of the country are Korean won-denominated equities and debts. In short, all the analysis in chapter 2 implies that to a substantial extent, risk-appetite shocks to global investors are transmitted to emerging market economies via fickle portfolio capital flows to equity and local currency bond markets in the economies. In chapter 3, Dongwook Kim and I provide a novel theory of international reserve accumulation of emerging market economies. We view reserve accumulation as capital outflows by the public sector which supplements insufficient capital outflows by the private sector. In our model, when an emerging market economy receives large capital inflows in the form of direct or equity portfolio investment, the emerging market economy must invest abroad to maintain macroeconomic balance and prepare for a possible future sudden stop. If the private sector in the emerging market economy cannot invest externally sufficiently or invests inefficiently due to low financial expertise or poor institutional quality, supplemental international investments must be accomplished by the public sector as international reserve outflows.

Download or read book Revisiting the Determinants of Capital Flows to Emerging Markets A Survey of the Evolving Literature written by Swarnali Ahmed Hannan and published by International Monetary Fund. This book was released on 2018-09-28 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents the evolution of gross and net capital flows to emerging market economies and surveys the large literature on the potential drivers. While the capital flow landscape has been shaped by the evolution of both global and country-specific factors, the relative importance of these factors has varied over time and differs depending on the type of capital flows. The findings from the survey of the literature thus underscores the importance of policies in both source and recipient countries in shaping capital flows.

Download or read book Three Essays on Economic Growth International Capital Flows and Country Risk written by Hulya Arik and published by . This book was released on 2006 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on International Capital Flows Domestic Monetary Processes and External Markets written by Christos Papazoglou and published by . This book was released on 1987 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: