Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/122075 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Working Paper No. 757
Verlag: 
Queen Mary University of London, School of Economics and Finance, London
Zusammenfassung: 
This paper studies the role of global and regional variations in economic activity and policy in developed world in driving portfolio capital flows (PCF) to emerging markets (EMs) in a Factor Augmented Vector Autoregressive (FAVAR) framework. Results suggest that PCFs to EMs depend mainly on economic activity at the global level and monetary policy in America, positively on the former and negatively on the latter. In contrast, economic activity and policy shocks in Europe and Asia contribute significantly less to variations in PCFs to EMs. Hence, PCFs are driven by not only common shocks across all developed countries, but also variations in specific regions. This implies that economic divergence in the developed world can have significant effects on EMs via PCFs.
Schlagwörter: 
Portfolio capital flows
Bayesian analysis
Factor model
VAR
Emerging markets
JEL: 
C11
C32
E30
E52
E58
F32
Dokumentart: 
Working Paper

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