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The Determinants of Disaggregated Capital Inflows to Emerging Market Economies;Empirical Evidence from Korea

Author

Listed:
  • Kim, Sungcheol

    (Ministry of Economy and Finance;Republic of Korea)

  • Kim, Kyunghun

    (Hongik University;Republic of Korea)

Abstract

This paper investigates the key factors in determining disaggregated portfolio investment flows to Korea. I categorize total portfolio investment flows by investor type, such as global banks, investment funds, securities firms, and pension companies. From the structural vector autoregression model with dummy variables, this paper finds that the properties of each institution's capital inflows are quite different. For example, investment funds and securities firm flows are more responsive to stock market index, whereas pension companies are more sensitive to domestic output growth. This implies that the impact of any economic shock on the total foreign capital flows cannot be generalized as the impact on each investment group's capital flow.

Suggested Citation

  • Kim, Sungcheol & Kim, Kyunghun, 2023. "The Determinants of Disaggregated Capital Inflows to Emerging Market Economies;Empirical Evidence from Korea," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 38(1), pages 1-31.
    • Handle: RePEc:ris:integr:0866
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    More about this item

    Keywords

    Portfolio flows; Investor type; Push and Pull factors; Korea;
    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
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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