The Volatility of Capital Flows in Emerging Markets: Measures and Determinants

Maria Sole Pagliari and Swarnali Hannan

No 2017/041, IMF Working Papers from International Monetary Fund

Abstract: Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period 1970Q1-2016Q1, we construct three measures of volatility, for total capital flows and key instruments. Second, we perform panel regressions to understand the determinants of volatility. The measures show that the volatility of all instruments is prone to bouts, rising sharply during global shocks like the taper tantrum episode. Capital flow volatility thus remains a challenge for policy makers. The regression results suggest that push factors can be more important than pull factors in explaining volatility, illustrating that the characteristics of volatility can be different from those of the flows levels.

Keywords: WP; capital flow; flow volatility; volatility estimate; standard deviation; Volatility Estimation; International Flows; Financial; volatility measure; portfolio flow; flows to emdes; Cross border; estimation outcome; volatility in emdes; capital flow volatility; volatility of capital flow; capital flow movement; Cross border capital; Capital flows; Capital inflows; Financial statistics; Oil prices; Global financial crisis of 2008-2009; Global (search for similar items in EconPapers)
Pages: 58
Date: 2017-03-07
References: Add references at CitEc
Citations: View citations in EconPapers (53)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=44725 (application/pdf)

Related works:
Journal Article: The volatility of capital flows in emerging markets: Measures and determinants (2024)
Working Paper: The Volatility of Capital Flows in Emerging Markets: Measures and Determinants (2017)
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:imf:imfwpa:2017/041

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().