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Modelling fundamentals for forecasting capital flows to emerging markets
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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. doi:10.1002/ijfe.159 ISSN 1076-9307.
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Official URL: http://dx.doi.org/10.1002/ijfe.159
Abstract
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 | ||||
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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. | ||||
ISSN: | 1076-9307 | ||||
Official Date: | 2001 | ||||
Dates: |
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Volume: | 6 | ||||
Number: | 3 | ||||
Number of Pages: | 16 | ||||
Page Range: | pp. 201-216 | ||||
DOI: | 10.1002/ijfe.159 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
Data sourced from Thomson Reuters' Web of Knowledge
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