We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging markets. We use a structural VAR framework to examine the impact of shocks in interest rates and net capital flows on asset returns and the cost of capital. In contrast to...

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...