Global economic divergence and portfolio capital flows to emerging markets

Arbeitspapier

This paper studies the role of global and regional variations in economic activity and policy in developed world in driving portfolio capital flows (PCF) to emerging markets (EMs) in a Factor Augmented Vector Autoregressive (FAVAR) framework. Results suggest that PCFs to EMs depend mainly on economic activity at the global level and monetary policy in America, positively on the former and negatively on the latter. In contrast, economic activity and policy shocks in Europe and Asia contribute significantly less to variations in PCFs to EMs. Hence, PCFs are driven by not only common shocks across all developed countries, but also variations in specific regions. This implies that economic divergence in the developed world can have significant effects on EMs via PCFs.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 757

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Bayesian Analysis: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) ; Monetary Policy ; Central Banks and Their Policies ; Current Account Adjustment; Short-term Capital Movements
• Thema: Portfolio capital flows ; Bayesian analysis ; Factor model ; VAR ; Emerging markets

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Mandalinci, Zeyyad ; Mumtaz, Haroon
• Ereignis: Veröffentlichung
• (wer): Queen Mary University of London, School of Economics and Finance
• (wo): London
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/122075
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ