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The Volatility of Capital Flows in Emerging Markets: Measures and Determinants
Author: Maria Sole Pagliari and Mrs. Swarnali A Hannan
Series:
IMF Working Papers
Volume/Issue:
Volume 2017: Issue 041
Language:
English
Publication Date:
07 Mar 2017
DOI:
https://doi.org/10.5089/9781475585254.001
ISBN:
9781475585254
ISSN:
1018-5941
Pages:
58
Keywords:
WP; capital flow; flow volatility; volatility estimate; standard deviation; Volatility Estimation; International Flows; Financial; volatility measure; portfolio flow; flows to emdes; Cross border; estimation outcome; volatility in emdes; capital flow volatility; volatility of capital flow; capital flow movement; Cross border capital; Capital flows; Capital inflows; Financial statistics; Oil prices; Global financial crisis of 2008-2009; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period 1970Q1-2016Q1, we construct three measures of volatility, for total capital flows and key instruments. Second, we perform panel regressions to understand the determinants of volatility. The measures show that the volatility of all instruments is prone to bouts, rising sharply during global shocks like the taper tantrum episode. Capital flow volatility thus remains a challenge for policy makers. The regression results suggest that push factors can be more important than pull factors in explaining volatility, illustrating that the characteristics of volatility can be different from those of the flows levels.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund