Capital flows, push versus pull factors and the global financial crisis

• 成果类型: Article
• 署名作者: Fratzscher, Marcel
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.05.003
• 发表日期: 2012
• 页码: 341-356
• 关键词: capital flows; RISK; Push factors; Pull factors; Emerging markets; Advanced economies

摘要

The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks - key crisis events as well as changes to global liquidity and risk - have exerted a large effect on capital flows both in the crisis and in the recovery. However, these effects have been highly heterogeneous across countries, with a large part of this heterogeneity being explained by differences in the quality of domestic institutions, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects show that common factors (push factors) were overall the main drivers of capital flows during the crisis, while country-specific determinants (pull factors) have been dominant in accounting for the dynamics of global capital flows in 2009 and 2010, in particular for emerging markets. (C) 2012 Elsevier B.V. All rights reserved.