全球智库信息集成服务系统(G2TT): Global Capital Flows Cycle: Impact on Gross and Net Flows

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w25721
来源ID	Working Paper 25721
	Global Capital Flows Cycle: Impact on Gross and Net Flows
	J. Scott Davis; Giorgio Valente; Eric van Wincoop
发表日期	2019-04-08
出版年	2019
语种	英语
摘要	While prior to the global financial crisis the empirical international capital flow literature has focused on net capital flows (the current account), since the crisis there has been an increased focus on gross flows. In this paper we jointly analyze global drivers of gross flows (outflows plus inflows) and net flows (outflows minus inflows) by estimating a latent factor model. We find evidence of two global factors, which we call the GFC (global financial cycle) factor and commodity price factor as they closely track respectively the Miranda-Agrippino and Rey asset price factor and an average of oil and gas prices. These factors together account for half the variance of gross flows in advanced countries and forty percent of the variance of gross flows in emerging markets. But remarkably, they also account for forty percent of the variance of net capital flows in both groups of countries. We also analyze the heterogeneity across countries in the impact of the two factors. One of the key findings is that the impact of the GFC factor on both gross and net capital flows is stronger in countries that have larger net debt liabilities. Other asset classes (FDI and portfolio equity) do not significantly impact the exposure to the GFC factor.
主题	International Economics ; International Finance ; International Macroeconomics
URL	https://www.nber.org/papers/w25721
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/583395
推荐引用方式 GB/T 7714	J. Scott Davis,Giorgio Valente,Eric van Wincoop. Global Capital Flows Cycle: Impact on Gross and Net Flows. 2019.

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
w25721.pdf（2127KB）	智库出版物		限制开放	CC BY-NC-SA	浏览