Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/91456
Authors: 
Rocha, Kátia
Moreira, Ajax
Year of Publication: 
2013
Series/Report no.: 
Texto para Discussão, Instituto de Pesquisa Econômica Aplicada (IPEA) 1893
Abstract (Translated): 
The paper proposes a panel model to the determinants of capital flow volatility to a group of eighteen emerging market economies (EME) in the period of 2000 to 2011. It studies the robustness of the model regarding different volatility measures; analyses several types of gross capital inflow; focusing the role of government institutional quality and the development of domestic financial system (banks, insurance companies, and capital markets - stocks, bonds and derivatives). The eighteen EME analyzed (Argentina, Brazil, Chile, Colombia, Czech Republic, Hungary, India, Indonesia, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Thailand, Turkey and Venezuela) represented roughly 95% of the Emerging Markets Bond Index Global (EMBIG) in January 2013, being the biggest destination to international capital flow to EME according to the report of the Bank for International Settlements (BIS, 2009). The main conclusion suggests that a reduction of capital flow volatility can be achieved by the adoption of policies that improve government institutional quality and promote development, stability and efficiency of the domestic financial system.
Subjects: 
capital flow
emerging markets
institutional quality of the government
development of domestic financial system
JEL: 
F21
F36
G38
C23
Document Type: 
Working Paper

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