Effects of Us Interest Rate Hike and Global Risk on Daily Capital Flows in Emerging Market Countries

Eiji Ogawa, Junko Shimizu and Pengfei Luo

Hitotsubashi Journal of commerce and management, 2023, vol. 57, issue 1, 1-31

Abstract: This paper investigates effects of United States (US) interest rate and global risk on daily capital flows in emerging market (EM) countries during an analytical period from 11 November 2015 to 2 October 2018. Country-specific VAR models are used to analyze both determinants of capital flows in EM countries and contagion of capital flows among EM countries. We found that not only pull factors but also such push factors as market participantsʼ expectation of US interest rate and global risk aversion changed capital flows from EM countries. Moreover, we found that contagion of capital flows widely exited among EM countries.

Keywords: daily capital flows; emerging market countries; US interest rate hike; global risk; contagion effect (search for similar items in EconPapers)
JEL-codes: E43 F32 F42 G11 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Effects of US Interest Rate Hikes and Global Risk on Daily Capital Flows in Emerging Market Countries (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hitjcm:v:57:y:2023:i:1:p:1-31

DOI: 10.15057/hjcm.2023001

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