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How important are global factors for understanding the dynamics of international capital flows?

Eller, Markus; Huber, Florian; Schuberth, Helene - 2018

We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship between global factors and country-specific capital flow dynamics. Studying a global sample of 43 countries from 1994 until 2015, we show that global co-movement of macroeconomic,...

Persistent link: https://www.econbiz.de/10011929696

Monetary policy independence and the strength of the global financial cycle

Friedrich, Christian; Guérin, Pierre; Leiva-Léon, Danilo - 2020 - Last updated: June 5, 2020

We propose a new strength measure of the global financial cycle by estimating a regimeswitching factor model on cross-border equity flows for 61 countries. We then assess how the strength of the global financial cycle affects monetary policy independence, which is defined as the response of...

Persistent link: https://www.econbiz.de/10012243375

Global Liquidity, World Savings Glut and Global Policy Coordination

Belke, Ansgar Hubertus - 2010

The global imbalances of the 2000s and the recent global financial crisis are intimately connected. Both originate in the combination of economic policies adopted by the two key economies, the US and China. Global financial markets served as a transmission belt, both during the boom as during...

Persistent link: https://www.econbiz.de/10013144334

The financial role of East Asian economies in global imbalances : an econometric assessment of developments after the global financial crisis

I, Hyeon hun; Park, Donghyun - 2013

The central objective of this paper is to empirically assess how global imbalances have evolved since the global financial crisis of 2008/09. More specifically, we examine how the security investment positions of major East Asian economies in United States (US) financial markets - equities,...

Persistent link: https://www.econbiz.de/10010192390

The 2007-2009 Financial Crisis, Global Imbalances and Capital Flows : Implications for Reform

Kenç, Turalay; Dibooglu, Sel - 2010

context and present evidence regarding the incidence and unit price of risk. Our results show that the unit price of risk … prior to the subprime crisis is comparable to the price of risk prior to the great depression and similar to the price of … risk at onset of the technology bubble. We then discuss global imbalances, the associated risks with regard to …

Persistent link: https://www.econbiz.de/10014197315

Alternative measures for the global financial cycle : do they make a difference?

Tian, Xin; Jacobs, Jan; Haan, Jakob de - 2022

We construct several measures for the global financial cycle using dynamic factor models and data for 25 advanced and emerging countries over 1980-2019. Our results suggest that global cycles in asset prices and capital flows are highly similar and synchronized, especially during crisis...

Persistent link: https://www.econbiz.de/10013186798

Foreign Capital Inflow and Financial Crisis in a Dynamic Model

Basak, Gopal K. - 2016

The paper models foreign capital inflow in a multi-period framework from the developed to the developing countries. The market for foreign loan together with the foreign exchange market simultaneously determines interest rate in the international loan market and the exchange rate. We also derive...

Persistent link: https://www.econbiz.de/10013004405

The International Monetary System : Where are We and Where Do We Need to Go?

Patra, Michael - 2013

The North Atlantic financial crisis of 2008-2009 has spurred renewed interest in reforming the international monetary system, which has been malfunctioning in many aspects. Large and volatile capital flows have promoted greater volatility in financial markets, leading to recurrent financial...

Persistent link: https://www.econbiz.de/10013071929

Domestic and multilateral effects of capital controls in emerging markets

Pasricha, Gurnain Kaur; Falagiarda, Matteo; … - 2015

Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001 - 11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls. Our results, based on panel vector autoregressions, suggest that capital control...

Persistent link: https://www.econbiz.de/10011372773

Domestic and Multilateral Effects of Capital Controls in Emerging Markets

Pasricha, Gurnain Kaur - 2015

Using a novel dataset on changes in capital controls and currency-based prudential measures in 17 major emerging market economies (EMEs) over the period 2001-2011, this paper provides new evidence on domestic and multilateral (or spillover) effects of capital controls before and after the global...

Persistent link: https://www.econbiz.de/10013016947