Forecasting capital flows to emerging markets: a Kalman filtering approach

Ashoka Mody, Mark Taylor and Jung Yeon Kim

Applied Financial Economics, 2001, vol. 11, issue 6, 581-589

Abstract: This article provides capital flow forecasts to 32 developing countries using an unobserved components model and maximum likelihood Kalman filtering estimation. Permanent and temporary components of capital flows of bond, equity and syndicated loans are separated out to the countries concerned. Based on these models, and using monthly data up to December 2000, forecasts of various capital flows are presented for the period January 2001 to December 2003. The results of the time series based forecasts are then compared to those obtained using a fundamentals-based approach.

Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100110076321 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:11:y:2001:i:6:p:581-589

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100110076321

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().