The dynamics of capital flow episodes

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Staff Working Paper ; No. 2016-9

Classification and Topics

• Classification: Wirtschaft ; International Investment; Long-term Capital Movements ; Current Account Adjustment; Short-term Capital Movements ; Portfolio Choice; Investment Decisions
• Subject: International topics ; International financial markets ; Econometric and statistical methods ; Uncertainty and monetary policy

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Friedrich, Christian ; Guérin, Pierre
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2016

Further information

• DOI: doi:10.34989/swp-2016-9
• Handle: http://hdl.handle.net/10419/148116
• Last update: 10.03.2025, 11:44 AM CET