| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23699 |
| 来源ID | Working Paper 23699 |
| How Important is the Global Financial Cycle? Evidence from Capital Flows | |
| Eugenio Cerutti; Stijn Claessens; Andrew K. Rose | |
| 发表日期 | 2017-09-04 |
| 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 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 mostly inconsistent with a significant and conspicuous GFCy, in that 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 nor stem from observables in a central country like the United States. |
| 主题 | International Economics ; International Finance ; Globalization and International Relations ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w23699 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581416 |
| 推荐引用方式 GB/T 7714 | Eugenio Cerutti,Stijn Claessens,Andrew K. Rose. How Important is the Global Financial Cycle? Evidence from Capital Flows. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23699.pdf（1511KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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