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Does the Relative Importance of the Push and Pull Factors of Foreign Capital Flows Vary Across Quantiles?

Xichen, Wang and Yan, Cheng (2021) 'Does the Relative Importance of the Push and Pull Factors of Foreign Capital Flows Vary Across Quantiles?' IMF Economic Review. ISSN 1020-7635

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Abstract

We empirically gauge the relative importance of the various push and pull factors for the magnitude of foreign flows to 51 emerging markets (EMs) across quantiles. We propose a quantile regression dynamic panel model with fixed effects and reveal several new findings: a) Global risk aversion and regional contagion are generally significant across most quantiles. b) Foreign short-term flows retreat less from EMs with stronger fundamentals during stress episodes. c) EMs that previously experienced larger portfolio debt and bank inflows tend to suffer more during stress episodes. Hence, we provide novel evidence supporting the global financial cycle hypothesis, investor differentiation hypothesis, and the “more-in-more-out” hypothesis.

Item Type: Article
Uncontrolled Keywords: Foreign flows; Emerging market; Surge; Sudden stop; Global financial cycle
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 13 Oct 2021 19:07
Last Modified: 11 Jan 2022 10:14
URI: http://repository.essex.ac.uk/id/eprint/31312

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