| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17012 |
| DP17012 News, Sentiment and Capital Flows | |
| Kenza Benhima; Rachel Cordonier | |
| 发表日期 | 2022-02-06 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We examine empirically the effect of two types of shocks related to expectations - "news" (increases in expected future productivity) and "sentiment" (surges in optimism unrelated to future productivity) - on gross capital flows. These two shocks together explain more than 80% of the variation in gross capital flows at all horizons, with the largest part being due to sentiment shocks. Both shocks drive a positive correlation between gross inflows and outflows but only sentiments shocks generate procyclical gross flows. We show that sentiment shocks are not accounted for by financial, monetary or uncertainty shocks, nor are they purely global. The empirical effect of news and sentiment shocks constitute a challenge to most theories of capital flows, but are consistent with the existence of asymmetric information between domestic and foreign investors about the country's fundamentals. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Capital flows Svar Expectations Asymmetric information |
| URL | https://cepr.org/publications/dp17012 |
| 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/545959 |
| 推荐引用方式 GB/T 7714 | Kenza Benhima,Rachel Cordonier. DP17012 News, Sentiment and Capital Flows. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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