Capital flow waves: Surges, stops, flight, and retrenchment

• 成果类型: Article
• 署名作者: Forbes, Kristin J.; Warnock, Francis E.
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.03.006
• 发表日期: 2012
• 页码: 235-251
• 关键词: capital flows; sudden stops; Bonanzas; Surges; RISK; capital controls; Pull versus push

摘要

This paper analyzes waves in international capital flows. We develop a new methodology for identifying episodes of extreme capital flow movements using data that differentiates activity by foreigners and domestics. We identify episodes of surges and stops (sharp increases and decreases, respectively, of gross inflows) and flight and retrenchment (sharp increases and decreases, respectively, of gross outflows). Our approach yields fundamentally different results than the previous literature that used measures of net flows. Global factors, especially global risk, are significantly associated with extreme capital flow episodes. Contagion, whether through trade, banking, or geography, is also associated with stop and retrenchment episodes. Domestic macroeconomic characteristics are generally less important, and we find little association between capital controls and the probability of having surges or stops driven by foreign capital flows. The results provide insights for different theoretical approaches explaining crises and capital flow volatility. (C) 2012 Elsevier B.V. All rights reserved.