Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251288 
Year of Publication: 
2021
Series/Report no.: 
Working Papers No. 2021-17
Publisher: 
Banco de México, Ciudad de México
Abstract: 
This paper analyzes recent changes in the relative importance of the determinants of capital flows to emerging market economies. For this purpose, we estimate vector autoregressive (VAR) models for the period 2009-2020. Based on these models, we estimate the effects on debt flows from shocks to their determinants. Then, we quantify the contribution of each of the variables included in the model to explain the evolution of these flows in each month of the sample through a historical decomposition analysis. The main results indicate that the contribution of global risk aversion to explain the evolution of debt flows increased during March 2020 compared to the past, although its relative importance has decreased since, particularly as the performance of financial markets improved.
Subjects: 
Capital Flows
Global Risk Aversion
COVID-19
Vector Autoregression
JEL: 
F21
F32
F41
G15
Document Type: 
Working Paper
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