Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/170669
Authors: 
Beckmann, Joscha
Czudaj, Robert
Year of Publication: 
2017
Series/Report no.: 
Chemnitz Economic Papers 009
Abstract: 
This paper provides a global analysis of capital flow impacts on GDP for selected emerging economies. As additional control variables, we also include currency reserves and effective exchange rates in our analysis. We distinguish between gross and net capital flows and also assess the impact of both FDI and portfolio flows. Accounting for the fact that common factors have been the main drivers of capital flows while country-specific determinants (‘pull’ factors) drive the response to such shocks, we analyze shocks to country groups but consider country-specific responses based on a Bayesian time-varying panel VAR framework in the spirit of Canova and Ciccarelli (2009). Based on a sample of 24 economies, our results show a robust positive effect of capital flows on GDP. Except for Korea, both gross and net capital flows display a positive impact for around two quarters. The impact of effective exchange rates on GDP hardly offers an explanation for a possible transmission of capital flow effects with effective depreciations both positively and negatively linked to GDP. We also find that the effect of net portfolio flows is even more positive compared to net FDI flows for emerging economies. Finally, we provide evidence that the importance of global factors increases in times of crises.
Subjects: 
Gold
Bayesian econometrics
capital flows
exchange rates
FDI
Panel VAR
JEL: 
C32
F31
F32
Document Type: 
Working Paper

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