Do Contagion Effects Exist in Capital Flow Volatility?

Hyun-Hoon Lee, Cyn-Young Park () and Hyung-suk Byun
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Hyung-suk Byun: Kangwon National University

No 302, ADB Economics Working Paper Series from Asian Development Bank

Abstract: The paper aims to assess what influences volatility of capital flows to emerging countries and whether or not there is a spillover or contagion effect in the volatility. The empirical results suggest strong and significant contagion effects from global and regional volatilities on the volatility of capital flows in different types to individual economies. The evidence of contagion from global and regional volatilities implies that there is a strong need for global and regional policy cooperation to contain the spillover or contagion effects. However, other policy variables have a differential and time-varying effect on volatility of different types of capital inflow, presenting policy dilemma and challenge to producing coordinated efforts by global and regional policy makers.

Pages: 44 pages
Date: 2012-09-30
Note: http://www.adb.org/sites/default/files/pub/2012/economics-wp302.pdf
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Journal Article: Do contagion effects exist in capital flow volatility? (2013)
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