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The cyclical properties of capital inflows in emerging market economies

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  • Park, Hail

Abstract

This article empirically investigates the cyclical characteristics of capital inflows in 12 emerging economies from the perspectives of their durations, amplitudes and speeds. Among emerging economies, the duration of capital inflows is shown to be on average the longest in Europe while the amplitude of inflows the biggest and the speed of those the fastest in Asia. Furthermore, the threshold effects of cyclical factors on capital inflows are examined. According to a panel smooth transition regression model, there exist the thresholds of cyclical factors such as (excess) global liquidity growth, the change in U.S. long-term interest rate, the change in the VIX and the US dollar index growth, beyond which the impacts on capital inflows change significantly.

Suggested Citation

  • Park, Hail, 2018. "The cyclical properties of capital inflows in emerging market economies," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 371-382.
    • Handle: RePEc:eee:reveco:v:56:y:2018:i:c:p:371-382
    DOI: 10.1016/j.iref.2017.11.006
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    References listed on IDEAS

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    1. González, Andrés & Teräsvirta, Timo & van Dijk, Dick & Yang, Yukai, 2005. "Panel Smooth Transition Regression Models," SSE/EFI Working Paper Series in Economics and Finance 604, Stockholm School of Economics, revised 11 Oct 2017.
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    More about this item

    Keywords

    Capital inflow cycle; Duration; Amplitude; Speed; Thresholds of cyclical factors;
    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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