Capital Flows in Risky Times: Risk-on/Risk-off and Emerging Market Tail Risk

Anusha Chari, Karlye Dilts Stedman and Christian Lundblad

No 27927, NBER Working Papers from National Bureau of Economic Research, Inc

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 that 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.

JEL-codes: F21 F3 G15 (search for similar items in EconPapers)
Date: 2020-10
New Economics Papers: this item is included in nep-ore and nep-rmg
Note: AP IFM
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Citations: View citations in EconPapers (19)

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Related works:
Working Paper: Capital Flows in Risky Times: Risk-On / Risk-Off and Emerging Market Tail Risk (2020)
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