Arbeitspapier
Capital flows, push versus pull factors and the global financial crisis
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect on capital flows both in the crisis and in the recovery. However, these effects have been highly heterogeneous across countries, with a large part of this heterogeneity being explained by differences in the quality of domestic institutions, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common factors (“push” factors) were overall the main drivers of capital flows during the crisis, while country-specific determinants (“pull” factors) have been dominant in accounting for the dynamics of global capital flows in 2009 and 2010, in particular for emerging markets.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1364
- Klassifikation
-
Wirtschaft
International Investment; Long-term Capital Movements
Portfolio Choice; Investment Decisions
- Thema
-
Capital flows
common shocks
factor model
liquidity
push factors
risk
Internationaler Finanzmarkt
Kapitalmobilität
Finanzkrise
Schock
Liquidität
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fratzscher, Marcel
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fratzscher, Marcel
- European Central Bank (ECB)
Entstanden
- 2011
Ähnliche Objekte (12)
What explains global exchange rate movements during the financial crisis?
Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis
Euro area government bonds: Integration and fragmentation during the sovereign debt crisis
Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
The pricing of sovereign risk and contagion during the European sovereign debt crisis
Drivers of structural change in cross-border banking since the global financial crisis
Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model
How successful are exchange rate communication and interventions? Evidence from time-series and event-study approaches
Hohe Ungleichheit durch schlecht funktionierende soziale Marktwirtschaft
Armuts- und Reichtumsbericht: Politische Teilhabe ungleich
The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?
US shocks and global exchange rate configurations
What explains global exchange rate movements during the financial crisis?
Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis
Euro area government bonds: Integration and fragmentation during the sovereign debt crisis
Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
The pricing of sovereign risk and contagion during the European sovereign debt crisis
Drivers of structural change in cross-border banking since the global financial crisis
Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model
How successful are exchange rate communication and interventions? Evidence from time-series and event-study approaches
Hohe Ungleichheit durch schlecht funktionierende soziale Marktwirtschaft
Armuts- und Reichtumsbericht: Politische Teilhabe ungleich
The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?
US shocks and global exchange rate configurations
What explains global exchange rate movements during the financial crisis?
Liquidity, risk and the global transmission of the 2007-08 financial crisis and the 2010-2011 sovereign debt crisis
Euro area government bonds: Integration and fragmentation during the sovereign debt crisis
Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis
The pricing of sovereign risk and contagion during the European sovereign debt crisis
Drivers of structural change in cross-border banking since the global financial crisis
Identifying the global transmission of the 2007-09 financial crisis in a GVAR Model
How successful are exchange rate communication and interventions? Evidence from time-series and event-study approaches
Hohe Ungleichheit durch schlecht funktionierende soziale Marktwirtschaft
Armuts- und Reichtumsbericht: Politische Teilhabe ungleich
The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?