Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129939
Authors: 
Hernández, Marco A.
Year of Publication: 
2015
Series/Report no.: 
Working Papers, Banco de México 2015-03
Abstract: 
Current data provide macroeconomic information for a large number of countries and for a long period of time (macro panels). This causes that in these panels slope heterogeneity and crosssection dependence (CSD) are a rule rather than the exception, leading to fixed effects slope estimators to be biased and inconsistent. This paper analyzes gross capital flows to emerging economies employing the Augmented Mean Group (AMG) model to account for slope heterogeneity and CSD. The results suggest that the AMG performs better than the fixed effects model. In addition, this work also suggests that not only the heterogeneity across countries is important to analyze capital inflows to emerging economies, but also the different responses of the different types of capital inflows to movements in macroeconomic variables.
Subjects: 
Capital Flows
Push and Pull Factors
Slope Heterogeneity
Common Factors
Cross-Section Dependence
JEL: 
C33
F3
F21
G15
Document Type: 
Working Paper
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