Front Matter

Front Matter Page

Asia and Pacific Department

Contents

  • I. Introduction

  • II. Stylized facts on EPFR Portfolio Flows

    • A. Data

    • B. Stylized Facts

    • C. Drivers of EPFR Flows—Pull vs. Push Factors

  • III. Methodology

  • IV. Empirical results

    • A. Impact of Capital Flows on the Level of Asset Returns

    • B. Impact of Global Risk Aversion on the Volatility of Asset Returns

    • C. Spillovers across Asset Markets

  • V. Conclusions

  • Figures

  • 1. Cumulative Portfolio

  • 2. Asset Prices in Emerging Markets

  • 3. Weekly Portfolio Flows to Emerging Markets during 2007–09

  • 4. Variance Decomposition of Weekly Fund Flows

  • 5. Historical Decomposition of Weekly EFPR Flows in Selected Countries

  • 6. Historical Decomposition of Total Fund Flows Deviation Pull vs. Push Drivers

  • 7. Impact of Equity Flows on Stock Returns

  • 8. Impact of Bond Flows on Bond Yields

  • 9. Impact of Portfolio Flows on Exchange Rate

  • 10. Impact of VIX on Asset Volatility Cross Regions

  • 11. VIX and Conditional Volatility of Asset Returns in Emerging Markets

  • 12. Impact of VIX on Stock Volatility vs. Financial Openness

  • 13. Impact of VIX on Bond Yields Volatility vs. Inflation

  • 14. Impact of VIX on Bond Yields Volatility vs CA Balance

  • 15. Impact of VIX on Exchange Rate Volatility vs. Exchange Rate Regime

  • 16. Impact of VIX on Bond Yields Volatility vs. Exchange Rate Regime

  • 17. Correlation between Equity Returns and Exchange Rate Returns

  • 18. Correlation between Change in Bond Yields and Exchange Rate Returns

  • 19. Time-Varying Conditional Correlations of Asset Markets (Selected Countries)

  • Appendices

  • I. Summary Statistics of EPER Flows

  • II. Impulse Responses of Total Fund Flows to Global and Domestic Factors

  • III. Country-Specific DCC-MGARCH Estimates

  • References

Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets
Author: Nasha Ananchotikul and Ms. Longmei Zhang