News, sentiment and capital flows

• 成果类型: Article
• 署名作者: Benhima, Kenza; Cordonier, Rachel
• 署名单位: University of Lausanne; Swiss National Bank (SNB)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2022.103621
• 发表日期: 2022
• 关键词: capital flows; SVAR; expectations; asymmetric information

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 these 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.(c) 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).