ADLER, Gustavo; DJIGBENOU, Marie-Louise; SOSA, Sebastian

doi:10.1016/j.jimonfin.2015.03.007

Métadonnées

Afficher la notice complète

Licence d’utilisation du document

ADLER, Gustavo

DJIGBENOU, Marie-Louise
Laboratoire d'analyse et de recherche en économie et finance internationales [Larefi]

SOSA, Sebastian

Langue

Article de revue

Ce document a été publié dans

Journal of International Money and Finance. 2016-02-01, vol. 60, p. 8-28

Résumé en anglais

We study the dynamic response of gross capital flows in emerging market economies to different global financial shocks, using a panel vector-autoregressive (PVAR) approach. Our focus lies primarily on the potentially stabilizing role played by domestic investors in offsetting the response of foreign investors to adverse global shocks. We find that, while foreign investors tend to retrench from emerging markets in response to global risk aversion and monetary policy shocks, foreign asset repatriation by resident investors does not always follow suit. Local investors play a meaningful stabilizing role in the face of global risk aversion shocks, with sizeable asset repatriation largely offsetting the retrenchment of non-residents. In contrast, foreign investor retrenchment in response to global monetary policy shocks is not mirrored by asset repatriation. Finally, we find robust evidence that positive global real shocks tend to have a positive impact on net capital inflows to emerging markets. Our results shed light on the likely impact of the Fed's QE tapering on capital flows to emerging market economies.< Réduire

Mots clés

Gross capital flows

Foreign assets

Global financial shocks

Mots clés en anglais

Capital flows