Push factors and capital flows to emerging markets: why knowing your lender matters more than fundamentals

• 成果类型: Article
• 署名作者: Cerutti, Eugenio; Claessens, Stijn; Puy, Damien
• 署名单位: International Monetary Fund; Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2019.04.006
• 发表日期: 2019
• 页码: 133-149
• 关键词: Push factors; capital flows; Emerging markets; Mutual funds; global banks; Global financial cycle

摘要

Countries' gross capital inflows are not equally affected by changes in global conditions. Analyzing 21 advanced countries (ACs) and 33 emerging markets (EMs) between 2001 and 2015, we confirm that co-movements in capital inflows are concentrated in bank, portfolio bond, and portfolio equity flows to EMs. However, changes in global factors do not affect all EMs equally, even for the same type of flow. Investigating the characteristics of these sensitivities, we find that EMs relying more on global mutual funds are more sensitive in their gross equity and bond inflows. Recipient market liquidity and inclusion in global market indices also increase sensitivities, but we find little robust evidence that institutional and macroeconomic fundamentals dampen sensitivities. (C) 2019 Elsevier B.V. All rights reserved.