文章基本信息

标题：Emerging Economies' Vulnerability to Changes in Capital Flows: The Role of Global and Local Factors
本地全文：下载
作者：Yoshihiko Norimasa ; Kazuki Ueda ; Tomohiro Watanabe 等
期刊名称：Financial System Report
出版年度：2021
卷号：2021
页码：1-44
语种：English
出版社：Bank of Japan
摘要：This study uses panel quantile regression to examine the risk of capital outflows in times of stress (capital flows-at-risk, CFaR) for 16 emerging economies. Our analysis shows that changes in financial conditions in advanced economies and in the monetary policy stance of the United States affect the risk of large capital outflows for some countries. In particular, we find that tighter financial conditions in advanced economies during a phase when the U.S. monetary policy stance is changing significantly affect emerging economies' CFaR. Further, using government debt as a measure of emerging economies' structural vulnerability, we find that an increase in government debt substantially raises the risk of capital outflows in times of stress. Moreover, while in the case of debt investment, CFaR tend to be greater the higher the level of government debt, in the case of other investment (consisting mainly of bank lending), CFaR tend to increase when financial conditions in advanced economies deteriorate.
关键词：Risk of Capital Outflows (CFaR: Capital Flows-at-Risk);Global Factors;Local Factors;Panel Quantile Regression;Relative Entropy