Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217290 
Year of Publication: 
2016
Citation: 
[Journal:] Central Bank Review (CBR) [ISSN:] 1303-0701 [Volume:] 16 [Issue:] 2 [Publisher:] Elsevier [Place:] Amsterdam [Year:] 2016 [Pages:] 65-72
Publisher: 
Elsevier, Amsterdam
Abstract: 
This paper investigates the time varying nature of the determinants of bond flows with a focus on the global financial crisis period. We estimate a time varying regression model using Bayesian estimation methods, where the posterior distribution is approximated by Gibbs sampling algorithm. Our findings suggest that the interest rate differential is the most significant pull factor of portfolio bond flows, along with the inflation rate, while the growth rate does not play a significant role. Among the push factors, global liquidity is the most important driver of bond flows. It matters the most, when unconventional monetary easing policies were first announced; and its importance as a determinant of portfolio bond flows decreases over time, starting with the Eurozone crisis, and diminishes with the tapering talk. Global risk appetite and the risk perception towards the emerging countries also have relatively small and stable significant effects on bond flows.
Subjects: 
Capital flows
Pull factors
Push factors
Emerging markets
Bayesian estimation
Gibbs sampling
JEL: 
F21
F32
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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