Capital-flow volatility in emerging markets: A panel GARCH approach

Kaya A. I., ERDEN L.

INTERNATIONAL FINANCE, cilt.26, sa.2, ss.172-188, 2023 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 26 Sayı: 2
  • Basım Tarihi: 2023
  • Doi Numarası: 10.1111/infi.12427
  • Dergi Adı: INTERNATIONAL FINANCE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, vLex
  • Sayfa Sayıları: ss.172-188
  • Anahtar Kelimeler: capital flows, comovement, panel GARCH, push-pull factors, volatility, UNIT-ROOT, TIME-SERIES, TESTS
  • Hacettepe Üniversitesi Adresli: Evet

Özet

This study analyzes the role of push-pull factors on the level, volatility and comovement of capital flows in emerging markets (EMs). Taking the commonality of capital flows into account, we employ the panel Generalized Autoregressive Conditional Heteroscedasticity model developed by Cermeno and Grier for 16 EMs. This method not only accounts for country-specific heterogeneity and cross-section dependence but also allows the examination of the sources of the level, volatility and comovement of capital flows in a single step. The results show that domestic factors explain two-thirds of the variation in net capital-flow volatility. While both global and domestic factors, with the prominent ones being global risks and domestic economic growth, influence the comovement, their impacts somewhat vary by the types of capital flows.