The Dynamics of Capital Flow Episodes

Christian Friedrich and Pierre Guérin

Journal of Money, Credit and Banking, 2020, vol. 52, issue 5, 969-1003

Abstract: We first propose a novel methodology for identifying episodes of strong equity and bond flows using estimates from a regime‐switching model that keeps context‐ and sample‐specific assumptions to a minimum. We then assess the impacts of U.S. stock market volatility (VIX) and U.S. monetary policy shocks on equity and bond flow episodes. Our results indicate that the impacts of both shocks differ across in‐ and outflow episodes and, based on an assessment of equity flows, vary considerably over time. While VIX shocks are mostly associated with asymmetric impacts across episodes, U.S. monetary policy shocks generate such asymmetries primarily over time.

Date: 2020
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https://doi.org/10.1111/jmcb.12614

Related works:
Working Paper: The Dynamics of Capital Flow Episodes (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:52:y:2020:i:5:p:969-1003

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