Measuring and Explaining the Volatility of Capital Flows towards Emerging Countries

33 Pages Posted: 1 Sep 2008

Date Written: September 1, 2008

Abstract

This paper analyzes the determinants of the volatility of different types of capital inflows to emerging countries. After calculating a variable that proxies capital flows volatility, we study its possible causality relations with a set of explanatory variables by type of flow through a panel data model. We show that in recent years the significance of global factors, beyond the control of emerging economies, has increased at the expense of that of country specific factors. In addition, various factors exhibit a non-robust effect on the volatility of the three different categories of capital flows, which poses additional challenges for policy-makers.

Keywords: capital flows, volatility, panel data, emerging markets

JEL Classification: F21, F36, C22, C23

Suggested Citation

Broto, Carmen and Díaz-Cassou, Javier and Erce, Aitor, Measuring and Explaining the Volatility of Capital Flows towards Emerging Countries (September 1, 2008). Banco de Espana Working Paper No. 0817, Available at SSRN: https://ssrn.com/abstract=1261824 or http://dx.doi.org/10.2139/ssrn.1261824

Carmen Broto (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Javier Díaz-Cassou

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

HOME PAGE: http://www.bde.es

Aitor Erce

UPNA ( email )

Pamplona
Spain

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