{"title":"Capital-flow volatility in emerging markets: A panel GARCH approach","authors":"Ahmet Ihsan Kaya, Lutfi Erden","doi":"10.1111/infi.12427","DOIUrl":null,"url":null,"abstract":"<p>This study analyzes the role of push–pull factors on the level, volatility and comovement of capital flows in emerging markets (EMs). Taking the commonality of capital flows into account, we employ the panel Generalized Autoregressive Conditional Heteroscedasticity model developed by Cermeño and Grier for 16 EMs. This method not only accounts for country-specific heterogeneity and cross-section dependence but also allows the examination of the sources of the level, volatility and comovement of capital flows in a single step. The results show that domestic factors explain two-thirds of the variation in net capital-flow volatility. While both global and domestic factors, with the prominent ones being global risks and domestic economic growth, influence the comovement, their impacts somewhat vary by the types of capital flows.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2022-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Finance","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/infi.12427","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This study analyzes the role of push–pull factors on the level, volatility and comovement of capital flows in emerging markets (EMs). Taking the commonality of capital flows into account, we employ the panel Generalized Autoregressive Conditional Heteroscedasticity model developed by Cermeño and Grier for 16 EMs. This method not only accounts for country-specific heterogeneity and cross-section dependence but also allows the examination of the sources of the level, volatility and comovement of capital flows in a single step. The results show that domestic factors explain two-thirds of the variation in net capital-flow volatility. While both global and domestic factors, with the prominent ones being global risks and domestic economic growth, influence the comovement, their impacts somewhat vary by the types of capital flows.
期刊介绍：
International Finance is a highly selective ISI-accredited journal featuring literate and policy-relevant analysis in macroeconomics and finance. Specific areas of focus include: · Exchange rates · Monetary policy · Political economy · Financial markets · Corporate finance The journal''s readership extends well beyond academia into national treasuries and corporate treasuries, central banks and investment banks, and major international organizations. International Finance publishes lucid, policy-relevant writing in macroeconomics and finance backed by rigorous theory and empirical analysis. In addition to the core double-refereed articles, the journal publishes non-refereed themed book reviews by invited authors and commentary pieces by major policy figures. The editor delivers the vast majority of first-round decisions within three months.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
