Modelling fundamentals for forecasting capital flows to emerging markets
Mody, Ashoka, Taylor, Mark P. and Kim, Jung Yeon. (2001) Modelling fundamentals for forecasting capital flows to emerging markets. International Journal of Finance & Economics, 6 (3). pp. 201-216. ISSN 1076-9307Full text not available from this repository.
Official URL: http://dx.doi.org/10.1002/ijfe.159
In this paper. we provide capital flow forecasts to 32 developing countries using a vector error correction framework based on underlying domestic (pull) fundamentals and international (push) factors. In general, pull factors have a heavier weight in determining these capital flows. However, short-term dynamics of capital flows can be significantly influenced by external developments. Simulations under various economic scenarios show that while financial variables (such as the US interest rate and high-yield spread) are important, real US activity may be even more potent in influencing capital flow movements. Copyright (C) 2001 John Wiley & Sons, Ltd.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Warwick Business School|
|Journal or Publication Title:||International Journal of Finance & Economics|
|Publisher:||John Wiley & Sons Ltd.|
|Number of Pages:||16|
|Page Range:||pp. 201-216|
|Access rights to Published version:||Restricted or Subscription Access|
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