| Description |
1 online resource (35 pages) : color illustrations |
| Series |
IMF working paper ; WP/14/196 |
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IMF working paper ; WP/14/196.
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| Contents |
Cover; Abstract; Contents; I. Introduction; II. Methodology and Data; A. Empirical Strategy; B. Data; III. Regression Results; A. Baseline Regressions; B. Baseline Regressions with Non-linear Effects of VIX; IV. Other Key Questions; A. Has the Relative Importance of the Determinants of Flows Changed since the Crisis?; B. Do Banking Flows Differ from Portfolio Flows?; C. Are Emerging Markets Different from Advanced Economies?; V. Robustness Checks; VI. Conclusion; References; Tables; 1. Sample of Countries; 2. Variables; 3. Summary Statistics; 4. Baseline Regressions |
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5. Baseline Regressions with VIX Interactions6. Baseline Regression: Before and After Crisis; 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; 10. Robustness Tests; Figures; 1. Stylized Facts; 2. Marginal Effect Plots |
| 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 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.--Abstract |
| Notes |
"October 2014." |
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"Monetary and Capital Markets Department." |
| Bibliography |
Includes bibliographical references (pages 18-20) |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed October 30, 2014) |
| Subject |
Capital movements -- Developing countries
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Capital movements
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Developing countries
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| Form |
Electronic book
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| Author |
Saadi-Sedik, Tahsin, author
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Mondino, Tomas, author
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International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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