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Autor:innen: 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
ECB Working Paper No. 1468
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper studies how the drivers of portfolio flows change across periods with a model where regression coefficients endogenously change over time in a continuous fashion. The empirical analysis of daily equity portfolio flows to emerging markets shows that the regression coefficients display substantial time variation. Major changes in the importance of the drivers of the flows coincide with important market events/shocks. Overall, investors pay more attention to regional developments in emerging markets in periods when market tensions are elevated. However, extreme tensions generate panics, i.e. periods when changes in uncertainty and risk aversion drive flows, while regional developments play only a marginal role.
Schlagwörter: 
Capital flows
emerging markets
financial crisis
pull factors
push factors
JEL: 
F32
F34
G01
G11
Dokumentart: 
Working Paper

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