| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12075 |
| DP12075 How Important is the Global Financial Cycle? Evidence from Capital Flows | |
| Andrew Rose; Eugenio Cerutti; Stijn Claessens | |
| 发表日期 | 2017-06-02 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows. We use a panel of capital flow data dis-aggregated by direction and type between 1990Q1 and 2015Q5 for 85 countries, and conventional techniques, models and metrics. Since the GFCy is an unobservable concept, we use two methods to represent it: directly observable variables in center economies often linked to it such as the VIX; and indirect manifestations, proxied by common dynamic factors extracted from actual capital flows. Our evidence seems inconsistent with a significant and conspicuous GFCy; both methods combined rarely explain more than a quarter of the variation in capital flows. Succinctly, most variation in capital flows does not seem to be the result of common shocks or stem from observables in a central country like the United States. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Empirical Data Center Country Panel Fit Vix Equity Bonds Fdi |
| URL | https://cepr.org/publications/dp12075 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540886 |
| 推荐引用方式 GB/T 7714 | Andrew Rose,Eugenio Cerutti,Stijn Claessens. DP12075 How Important is the Global Financial Cycle? Evidence from Capital Flows. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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