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 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 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 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 The Drivers of Capital Flows in Emerging Markets Post Global Financial Crisis written by Swarnali Ahmed Hannan and published by International Monetary Fund. This book was released on 2017-03-10 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a sample of 34 emerging markets and developing economies over the period 2009Q3-2015Q4, the paper employs a panel framework to study the determinants of capital flows, both net and gross, across a wide range of instruments. The baseline regressions are then extended to focus on high and low episodes – quarters with flows one standard deviation above/below mean. Overall, the results suggest that the capital flow slowdown witnessed in recent years is due to a combination of lower growth prospects of recipient countries and worse global risk sentiment. However, the determinants of flows can be considerably different across instruments and across the type of flows considered, net or gross. The sensitivity of certain types of flows, towards push and pull factors, increases during periods of high and low capital flows. Moreover, some variables may not necessarily be significant during normal times, but can be important drivers during such episodes, and vice versa. Indicators like the gap between the U.S. long- and short-term maturity bond yields – not significant during normal times – can be an important driver during high episodes.

Download or read book Current Situation of Capital Flows to Emerging Markets written by Dominik Hueller and published by GRIN Verlag. This book was released on 2014-12-08 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2014 in the subject Economics - International Economic Relations, grade: 1,0, University of Leipzig (Wirtschaftswissenschaftliche Fakultät), course: International Economics, language: English, abstract: The following essay will shortly define the key-terms Emerging-Market and Capital-Flows and subsequently show the historic development of Capital-Inflows to the defined countries. After the examination of the determinants of the International Capital Flows, the fourth part will deal with a topicality, the pending tampering of the US Federal Reserve’s Quantitative Easing and elaborate the consequences for the global capital-market situation.

Download or read book Essays on Exchange Rate Regimes Optimal Monetary Policy and Capital Flows in Emerging Markets written by Anita Keshari Tuladhar and published by . This book was released on 2002 with total page 430 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 Capital Flows at Risk Taming the Ebbs and Flows written by Mr.R. G Gelos and published by International Monetary Fund. This book was released on 2019-12-20 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility of capital flows to emerging markets continues to pose challenges to policymakers. In this paper, we propose a new framework to answer critical policy questions: What policies and policy frameworks are most effective in dampening sharp capital flow movements in response to global shocks? What are the near- versus medium-term trade-offs of different policies? We tackle these questions using a quantile regression framework to predict the entire future probability distribution of capital flows to emerging markets, based on current domestic structural characteristics, policies, and global financial conditions. This new approach allows policymakers to quantify capital flows risks and evaluate policy tools to mitigate them, thus building the foundation of a risk management framework for capital flows.

Download or read book Gross Private Capital Flows to Emerging Markets written by Erlend Nier and published by International Monetary Fund. This book was released on 2014-10-27 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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, with the exception of interest rate differentials, lose statistical significance. Our results also suggest that the effect of global financial conditions on gross private capital flows increases with the host country’s level of financial sector development. Finally, our results imply that countries cannot fully insulate themselves from global financial shocks, unless creating a fragmented global financial system.

Download or read book Essays on International Capital Flows and Management in Emerging Market Economies written by Kyongjun Kwak and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I study international capital flows with a focus on capital flow management measures (CFMs) in emerging market economies (EMEs). In Chapter 1, I explain the mechanism of CFMs with optimal tax rates by incorporating the significant increase of gross outflows in EMEs. I construct a simple three-period model of pecuniary externalities where private domestic agents do not consider the effect of borrowing or overseas investment decision on their own financial constraint. The model differs from previous efforts in that it explicitly differentiates gross inflows (i.e., borrowing from foreign investors) from gross outflows (i.e., overseas investment in foreign assets) to reflect the larger role of gross outflows in EMEs. I show that the optimal tax rate on gross inflows is 0.8%p higher when foreign assets are included in the model, which is due to greater unintended side effects of borrowing through the channel of foreign asset prices. The findings generalize previous models by illustrating how externalities can be corrected with Pigouvian tax on borrowing as well as subsidy on overseas investment. This study also provides new policy insights into CFMs by suggesting separate management of gross inflows and outflows. In Chapter 2, I seek greater insight into the evaluation of CFMs by investigating their impact on income inequality in a small open economy. I focus on the long-term effect of capital flow liberalization on capital income ratio between households and entrepreneurs. Going a step further from the existing model that assumes risk premium of entrepreneurs’ external borrowing, I assume that households acknowledge a discount on the returns from their investments in foreign assets, which allows consideration of additional factors such as international transaction costs. According to the findings of this study, capital liberalization of gross inflows and outflows can have opposite impacts on income inequality through returns to capital and savings. Contrary to liberalizing gross outflows of households, liberalizing entrepreneurs’ external borrowing (i.e., gross inflows) can contribute to the increase of income inequality. This indicates that managing gross inflows can have a positive distributional effect in the long term, which provides further theoretical understanding of CFMs. In Chapter 3, we conduct an empirical study to assess the effectiveness of CFMs in curbing the capital flows’ fluctuations in EMEs caused by monetary policy shocks. In particular, we examine i) the extent to which CFMs mitigate the impact of US monetary shocks and ii) whether the mitigating effect differs between net capital flows and gross capital flows. Our results, based on a local projection panel estimation for the period 2000-2018, indicate that CFMs effectively reduce the fluctuations of both gross capital inflows and outflows when there are monetary policy shocks from the US. Our findings also show that the effect is more pronounced when we check in gross flows rather than net. In contrast to the effects in gross flows, the mitigating effects on net flows are ambiguous in most specifications.

Download or read book Emerging Market Capital Flows written by Richard M. Levich and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a little over one decade, the spread of market-oriented policies has turned the once so-called lesser developed countries into emerging markets. Many forces have been responsible for the tremendous growth in emerging markets. Trends toward market-oriented policies that permit private ownership of economic activities, such as public utilities and telecommunications, are part of the explanation. Corporate restructuring, following the debt crisis of the early 1980's has permitted many emerging market companies to gain international competitiveness. And an essential condition, a basic sea-change in economic policy, has opened up many emerging markets to international investors. This growth in emerging markets has been accompanied by volatility in individual markets, and a sector-wide shock after the meltdown in the Mexican Bolsa and Mexican peso, resulting in heated debate over the nature of these markets. Emerging market capital flows continue to be the subject of intense discussion around the world among investors, academics, and policymakers. Emerging Market Capital Flows examines the issues of emerging market capital flows from several distinct perspectives, addressing a number of related questions about emerging markets.

Download or read book Essays on Exchange Rate Determination and International Capital Flows in Emerging Economies written by Fredy A. G. Estrada and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Capital Flows to Emerging Markets written by Philippe Bacchetta and published by . This book was released on 1998 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper analyzes the impact of financial liberalizations and reforms in emerging markets on the dynamics of capital flows to these markets, using a simple model of international investors' behavior. We first show that the gradual nature of liberalizations, combined with the cost of absorbing large inflows in emerging economies, leads to rich dynamics of capital flows and often implies an initial period of overshooting as portfolios adjust. Asset prices will overshoot as well. Second, we show that if investors have incomplete information about new emerging markets, and learn over time, there can be high volatility of capital flows as well as contagion. Finally, we provide numerical estimates of long run capital inflows to emerging market economies and compare them to actual inflows. This gives a good indicator of upcoming crisis situations.

Download or read book Emerging Asia written by R. Rajan and published by Springer. This book was released on 2011-04-28 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book on the different aspects of international economic policy covers financial crises, reserve accumulation, capital flows and currency wars as well as issues relating to foreign direct investment and developments in China and India.