A natural level of capital flows

• 成果类型: Article
• 署名作者: Burger, John D.; Warnock, Francis E.; Warnock, Veronica Cacdac
• 署名单位: Loyola University Maryland; University of Virginia; National Bureau of Economic Research; University of Virginia
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.05.009
• 发表日期: 2022
• 页码: 1-16
• 关键词: capital flows; sudden stops; Equity returns

摘要

International portfolio flows converge in the medium run to a country-specific, supply-side estimate of their natural level. Our estimate of the natural level of capital flows, KF *, has impressive out-of-sample empirical features, greatly improves our ability to model no-toriously volatile capital flows and performs well against out-of-sample and in-sample fil-tering techniques. Further, the gap between actual inflows and KF* helps predict sudden stop episodes, equity returns, and capital flows during the two largest shocks of the past few decades: the global financial crisis and the Covid-19 shock.Published by Elsevier B.V.