Arbeitspapier
The dynamics of capital flow episodes
This paper proposes a novel methodology for identifying episodes of strong capital flows based on a regime-switching model. In comparison with the existing literature, a key advantage of our methodology is to estimate capital flow regimes without the need for context- and sample-specific assumptions. We implement this approach using weekly fund flows data for a large set of advanced and emerging economies. As an application of our methodology to the global financial cycle literature, we use a time-varying structural vector-autoregressive (VAR) model to assess the impact of U.S. stock market volatility (VIX) shocks and U.S. monetary policy shocks on aggregated measures of equity outflow and equity inflow episodes. Our results indicate that both VIX and U.S. monetary policy shocks had substantially time-varying effects on episodes of strong capital flows over our sample period.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2016-9
- Klassifikation
-
Wirtschaft
International Investment; Long-term Capital Movements
Current Account Adjustment; Short-term Capital Movements
Portfolio Choice; Investment Decisions
- Thema
-
International topics
International financial markets
Econometric and statistical methods
Uncertainty and monetary policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Friedrich, Christian
Guérin, Pierre
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2016
- DOI
-
doi:10.34989/swp-2016-9
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Friedrich, Christian
- Guérin, Pierre
- Bank of Canada
Entstanden
- 2016
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