Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets:
In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global "push" factors. To what extent do these cross-border flows and global risk ave...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2014
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 14/156 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global "push" factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis |
| Beschreibung: | 1 Online-Ressource (33 p) |
| ISBN: | 1498340229 9781498340229 |
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| 520 | 3 | |a In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global "push" factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis | |
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| index_date | 2024-07-03T20:13:35Z |
| indexdate | 2024-07-10T09:35:46Z |
| institution | BVB |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Ananchotikul, Nasha Verfasser aut Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets Ananchotikul, Nasha Washington, D.C International Monetary Fund 2014 1 Online-Ressource (33 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 14/156 In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global "push" factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis Online-Ausg Zhang, Longmei Sonstige oth http://elibrary.imf.org/view/IMF001/21573-9781498340229/21573-9781498340229/21573-9781498340229.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Ananchotikul, Nasha Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets |
| title | Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets |
| title_auth | Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets |
| title_exact_search | Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets |
| title_exact_search_txtP | Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets |
| title_full | Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets Ananchotikul, Nasha |
| title_fullStr | Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets Ananchotikul, Nasha |
| title_full_unstemmed | Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets Ananchotikul, Nasha |
| title_short | Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets |
| title_sort | portfolio flows global risk aversion and asset prices in emerging markets |
| url | http://elibrary.imf.org/view/IMF001/21573-9781498340229/21573-9781498340229/21573-9781498340229.xml |
| work_keys_str_mv | AT ananchotikulnasha portfolioflowsglobalriskaversionandassetpricesinemergingmarkets AT zhanglongmei portfolioflowsglobalriskaversionandassetpricesinemergingmarkets |