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Swept by the Tide? The International Comovement of Capital Flows

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dc.contributor.authorLafuerza, Luis F.
dc.contributor.authorServen, Luis
dc.date.accessioned2019-03-27T14:34:54Z
dc.date.available2019-03-27T14:34:54Z
dc.date.issued2019-03
dc.description.abstractThis paper assesses the international comovement of gross capital flows in a setting simultaneously encompassing aggregate inflows and outflows. It uses as empirical framework a multilevel latent factor model, implemented on flow data for a large sample of countries over more than three decades. On average, common shocks account for over 40 percent of the variance of both inflows and outflows, although with major differences between advanced countries and the rest. Among the former, global and group shocks dominate capital flows, and the same shocks drive gross inflows and outflows. Among the latter countries, idiosyncratic shocks tend to play the leading role, and gross inflows exhibit less commonality with outflows. The latent factors configure an international financial cycle that closely tracks the trends in a handful of global "push" variables. Recursive estimation of the factor model reveals a rising trend in the exposure of countries' flows to the international cycle—especially for advanced economies—up to the global financial crisis. Exposure to the cycle is robustly related to countries' external financial openness and the (lack of) flexibility of their exchange rate regime.en
dc.identifierhttp://documents.worldbank.org/curated/en/746291553173487580/Swept-by-the-Tide-The-International-Comovement-of-Capital-Flows
dc.identifier.doi10.1596/1813-9450-8787
dc.identifier.urihttps://hdl.handle.net/10986/31446
dc.languageEnglish
dc.publisherWorld Bank, Washington, DC
dc.relation.ispartofseriesPolicy Research Working Paper;No. 8787
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo
dc.subjectCAPITAL FLOWS
dc.subjectCOMMON FACTORS
dc.subjectGLOBAL FINANCIAL CYCLE
dc.subjectECONOMIC SHOCKS
dc.subjectBUSINESS CYCLES
dc.subjectFINANCIAL CRISIS
dc.subjectFINANCIAL OPENNESS
dc.subjectEXCHANGE RATES
dc.titleSwept by the Tide? The International Comovement of Capital Flowsen
dc.typeWorking Paperen
dc.typeDocument de travailfr
dc.typeDocumento de trabajoes
dspace.entity.typePublication
okr.crossref.titleSwept by the Tide? The International Comovement of Capital Flows
okr.date.disclosure2019-03-21
okr.doctypePublications & Research
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://documents.worldbank.org/curated/en/746291553173487580/Swept-by-the-Tide-The-International-Comovement-of-Capital-Flows
okr.guid746291553173487580
okr.identifier.doi10.1596/1813-9450-8787
okr.identifier.externaldocumentum090224b086abdbcf_2_0
okr.identifier.internaldocumentum30920542
okr.identifier.reportWPS8787
okr.importedtrueen
okr.language.supporteden
okr.pdfurlhttp://documents.worldbank.org/curated/en/746291553173487580/pdf/WPS8787.pdfen
okr.statistics.combined1341
okr.statistics.dr746291553173487580
okr.statistics.drstats1036
okr.topicFinance and Financial Sector Development::Capital Markets and Capital Flows
okr.topicInternational Economics and Trade::Capital Flows
okr.topicMacroeconomics and Economic Growth::Business Cycles and Stabilization Policies
okr.topicMacroeconomics and Economic Growth::Investment and Investment Climate
okr.topicMacroeconomics and Economic Growth::Macroeconomic Management
okr.unitDevelopment Research Group, Development Economics
relation.isAuthorOfPublication2c4139d2-7458-5296-9aea-6d3db3e1ae1e
relation.isAuthorOfPublication.latestForDiscovery2c4139d2-7458-5296-9aea-6d3db3e1ae1e
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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