Long- and short-run determinants of capital flows to Latin America: a long-run structural GVAR model

Melisso Boschi

Empirical Economics, 2012, vol. 43, issue 3, 1071 pages

Abstract: This article documents the determinants of capital flows to Argentina, Brazil and Mexico, assessing the relative importance of domestic and international factors through the estimation of a long-run structural Global VAR model of the world economy. The results show that in the long-run international factors prevail on domestic factors as determinants of the equilibrium behaviour of Net Foreign Assets (NFA) and also provide overwhelming evidence that domestic shocks are predominantly responsible for their short-run dynamics. Although all previous studies focus on the US economic influence, one striking result of this article is that the US variables are by no means the main external factors affecting Latin American NFA. Copyright Springer-Verlag 2012

Keywords: Net foreign assets; Capital flows; Real exchange rate; Latin America; Emerging markets; VECM; Global VAR; F21; F32; C32; C50 (search for similar items in EconPapers)
Date: 2012
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Working Paper: Foreign capital in Latin America: A long-run structural Global VAR perspective (2007)
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DOI: 10.1007/s00181-011-0524-6

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