Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/200269
Authors: 
Pagliari, Maria Sole
Hannan, Swarnali Ahmed
Year of Publication: 
2017
Series/Report no.: 
Departmental Working Papers, Rutgers University, Department of Economics 2017-10
Abstract: 
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 33 emerging markets and developing economies over the period 1970Q1-2016Q4, 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, after a period of sharp rise during the Global Financial Crisis, the volatility of most instruments is back to pre-crisis levels but are prone to bouts, having increased significantly during global shocks like the taper tantrum episode. Capital flow volatility thus remains a challenge for policy makers. The regression results suggest that push (external) factors are generally more important than pull (domestic) factors in explaining the volatility of capital flows. However, certain pull factors have become relevant since the Global Financial Crisis.
Subjects: 
Volatility Estimation
International Flows
Push vs Pull Factors
JEL: 
C13
C33
C58
F32
F36
F40
Document Type: 
Working Paper
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