EconPapers    
Economics at your fingertips  
 

Capital Flows in Risky Times: Risk-On / Risk-Off and Emerging Market Tail Risk

Anusha Chari (), Karlye Dilts Stedman () and Christian Lundblad

No RWP 20-08, Research Working Paper from Federal Reserve Bank of Kansas City

Abstract: This paper characterizes the implications of risk-on/risk-off shocks for emerging market capital flows and returns. We document that these shocks have important implications not only for the median of emerging markets flows and returns but also for the left tail. Further, while there are some differences in the effects across bond vs. equity markets and flows vs. asset returns, the effects associated with the worst realizations are generally larger than on the median realization. We apply our methodology to the COVID-19 shock to examine the pattern of flow and return realizations: the sizable risk-off nature of this shock engenders reactions that reside deep in the left tail of most relevant emerging market quantities.

Keywords: Capital flows; Emerging markets; risk-on/risk-off; COVID-19; Tail risk; Quantile regression (search for similar items in EconPapers)
JEL-codes: F32 G15 G23 (search for similar items in EconPapers)
Pages: 31
Date: 2020-07-01
New Economics Papers: this item is included in nep-fmk, nep-opm, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.kansascityfed.org/documents/5634/rwp20 ... ngMarketTailRisk.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
Working Paper: Capital Flows in Risky Times: Risk-on/Risk-off and Emerging Market Tail Risk (2020) Downloads
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:fip:fedkrw:88624

Ordering information: This working paper can be ordered from

DOI: 10.18651/RWP2020-08

Access Statistics for this paper

More papers in Research Working Paper from Federal Reserve Bank of Kansas City Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2021-07-25
Handle: RePEc:fip:fedkrw:88624