Spillover effects of global fund flows

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-09-11 DOI:10.1016/j.intfin.2025.102209

Yang Zhang , Huanhuan Zheng

引用次数: 0

Abstract

We apply a factor model to estimate the spillover effects of global fund flows across international equity and bond markets. We document robust evidence of global and regional spillovers of equity and bond flows in the transmission of external shocks, especially to emerging markets (EMs) during episodes of financial crises and capital stops. Macroprudential policies are effective in alleviating global and regional spillovers to EMs. However, we find no similar evidence for capital controls. Foreign and passive investors mitigate global and regional spillovers, but not sustainable investors whose scale may be too small to have any major impact. We observe bilateral spillovers between equity and bond markets within the same economy; however, their magnitudes are not comparable to those of global or regional spillovers.

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全球资金流动的溢出效应

我们运用因子模型来估计全球资金流动在国际股票和债券市场的溢出效应。我们发现了强有力的证据，证明股票和债券流动在外部冲击传导中具有全球和区域溢出效应，尤其是在金融危机和资本停止期间对新兴市场的溢出效应。宏观审慎政策在缓解全球和地区对新兴市场的溢出效应方面是有效的。然而，我们没有发现资本管制的类似证据。外国和被动投资者可以缓解全球和区域溢出效应，但不能缓解可持续投资者的影响，它们的规模可能太小，无法产生任何重大影响。我们观察到同一经济体内股票和债券市场之间的双边溢出效应；然而，它们的规模无法与全球或区域溢出效应相提并论。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.