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Valuation effects of capital inflows: Evidence from emerging market economies

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  • Le, Dieu Thanh
  • Park, Hail

Abstract

This paper studies valuation changes of capital inflows in 19 emerging market economies (EMEs). In most of the EMEs, we find that there are significant valuation changes and a positive rate of return on external liabilities by foreigners. Furthermore, the nonlinear effects of exchange rate movements on valuation changes are investigated using panel smooth transition regression models. Empirical results show that the transition is centered at approximately −22.3% of exchange rate change, which implies that when the exchange rate appreciates more than this level, foreign investment value gains increase considerably.

Suggested Citation

  • Le, Dieu Thanh & Park, Hail, 2020. "Valuation effects of capital inflows: Evidence from emerging market economies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300798
    DOI: 10.1016/j.najef.2019.101092
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    References listed on IDEAS

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    More about this item

    Keywords

    Valuation changes; Capital inflows; Exchange rate movements; Panel smooth transition regression;
    All these keywords.

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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