Estimating Capital Flows to Emerging Market Economies with Heterogeneous Panels

Hernandez Vega Marco A
Authors registered in the RePEc Author Service: Marco Hernandez-Vega ()

No 2015-03, Working Papers from Banco de México

Abstract: Current data provide macroeconomic information for a large number of countries and for a long period of time (macro panels). This causes that in these panels slope heterogeneity and cross-section dependence (CSD) are a rule rather than the exception, leading to fixed effects slope estimators to be biased and inconsistent. This paper analyzes gross capital flows to emerging economies employing the Augmented Mean Group (AMG) model to account for slope heterogeneity and CSD. The results suggest that the AMG performs better than the fixed effects model. In addition, this work also suggests that not only the heterogeneity across countries is important to analyze capital inflows to emerging economies, but also the different responses of the different types of capital inflows to movements in macroeconomic variables.

Keywords: Capital Flows; Push and Pull Factors; Slope Heterogeneity; Common Factors; Cross-Section Dependence (search for similar items in EconPapers)
JEL-codes: C33 F21 F3 G15 (search for similar items in EconPapers)
Date: 2015-02
New Economics Papers: this item is included in nep-ifn and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: ESTIMATING CAPITAL FLOWS TO EMERGING MARKET ECONOMIES WITH HETEROGENEOUS PANELS (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2015-03

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