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Investigating the impact of technology and noise shocks on capital flows

Author

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  • Yang, Yang
  • Tang, Yanling
  • Zhang, Ren
  • Wu, Li

Abstract

This study employs a structural vector autoregression model to examine the effects of technology and noise shocks on capital flows. Our findings reveal that the anticipation of technology shocks results in significant reductions in both capital inflow and outflow, while the realization of noise shocks leads to increased capital inflow and outflow. Technology and noise shocks explain approximately a quarter of the fluctuations in capital inflow and outflow. Additionally, our analysis shows that the excess bond premium experiences a significant decline after a noise shock, indicating that financial channels play a role in transmitting the effects of a noise shock.

Suggested Citation

  • Yang, Yang & Tang, Yanling & Zhang, Ren & Wu, Li, 2023. "Investigating the impact of technology and noise shocks on capital flows," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004233
    DOI: 10.1016/j.frl.2023.104051
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    More about this item

    Keywords

    Noise shock; Technology shock; Capital flows; Structural VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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