Investigating the impact of technology and noise shocks on capital flows

Yang Yang, Yanling Tang, Ren Zhang and Li Wu

Finance Research Letters, 2023, vol. 56, issue C

Abstract: This study employs a structural vector autoregression model to examine the effects of technology and noise shocks on capital flows. Our findings reveal that the anticipation of technology shocks results in significant reductions in both capital inflow and outflow, while the realization of noise shocks leads to increased capital inflow and outflow. Technology and noise shocks explain approximately a quarter of the fluctuations in capital inflow and outflow. Additionally, our analysis shows that the excess bond premium experiences a significant decline after a noise shock, indicating that financial channels play a role in transmitting the effects of a noise shock.

Keywords: Noise shock; Technology shock; Capital flows; Structural VAR (search for similar items in EconPapers)
JEL-codes: C32 D80 F32 F41 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004233

DOI: 10.1016/j.frl.2023.104051

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