The role of risk and information for international capital flows : new evidence from the SDDS

Yuko Hashimoto and Konstantin M. Wacker

In this paper we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance with the IMF's Special Data Dissemination Standard (SDDS). For FDI, we find statistically significant and robust support for this hypothesis: SDDS subscription increased inflows by an economically relevant magnitude of about 60 percent. We also find evidence of aversion against political and macroeconomi

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Year of publication:	2012
Authors:	Hashimoto, Yūko ; Wacker, Konstantin
Publisher:	Washington, DC : Internat. Monetary Fund
Subject:	Kapitalmobilität \| Capital mobility \| Auslandsinvestition \| Foreign investment \| Portfolio-Investition \| Foreign portfolio investment \| Informationseffizienz \| Informational efficiency

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Extent:	Online-Ressource (PDF-Datei: 43 S., 996 KB) graph. Darst.
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/242 IMF Working Papers
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Includes bibliographical references Systemvoraussetzungen: Acrobat Reader Cover Page; Title Page; Copyright Page; Contents; Appendices; Tables; Figures; I. Introduction; 1. Capital Flows (% of GDP) prior to and after SDDS Subscription; II. Information and Investment: A Literature Review; III. Investment: Model and Data; A. Portfolio and foreign direct investment; B. Econometric model; C. Determinants of international investment flows; D. Risk; E. Information; F. Spatial interdependencies; IV. Main Empirical Results; 1. FDI determinants; 2. Portfolio determinants; V. Robustness and Further Results; 2. Plots for normality of residuals from model (3a) 3. Kernel density estimate for residuals from model (3a) with corresponding normal distribution3. Different time trends between SDDS subscribers and non-subscribers?; 4. Parameter robustness; 4. Dynamic effects of SDDS subscription; 5. Smoothing spline estimate of spatial correlation in FDI flow residuals with 90 percent pointwise confidence bands based on 1,000 bootstrap replications; VI. Discussion and Conclusion; A. Main findings; B. Relation to other findings in the literature; C. Further results; D. Perspectives on further research and policy issues; A. Information on SDDS 5. List of SDDS subscribers6. SDDS Data Coverage; B. Sample, variables and descriptive statistics; 7. List of Variables; References; Footnotes Electronic reproduction; Available via World Wide Web
ISBN:	978-1-4755-1192-5 ; 978-1-4755-1262-5 ; 978-1-4755-6866-0
Source:	ECONIS - Online Catalogue of the ZBW

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