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on International Finance |
| By: | Pilar Tavella; Mathieu Pedemonte; Andrew Powell; Eduardo A. Cavallo |
| Abstract: | This paper proposes a new taxonomy of Sudden Stops comprised of seven categories with definitions depending on the behavior of gross and net capital flows. The incidence of different types of Sudden Stops is tracked over time and the type of Sudden Stop related to economic performance. Sudden Stops in Net Flows associated with reductions in Gross Inflows are more disruptive than those where surges in (only) Gross Outflows dominate. The paper further discusses the mechanisms that might result in Sudden Stops in Gross Flows that are not Sudden Stops in Net Flows, such that shifts in financial assets or liabilities do not require a sharp current account adjustment. Still, it is found that Sudden Stops in Gross Inflows that do not provoke a sharp contraction in Net Flows may also be disruptive, including Sudden Stops that are driven by "other flows" -which include banking flows. The results suggest new avenues for research and future policy analysis. |
| Keywords: | Financial Crises & Economic Stabilization, Capital flows, Financial Sector, Investment, IDB-WP-430 |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:idb:brikps:82148&r=ifn |
| By: | Hideaki Hirata; M. Ayhan Kose; Chris Otrok; Marco Terrones |
| Abstract: | We examine the properties of house price fluctuations across eighteen advanced economies over the past forty years. We ask two specific questions: First, how synchronized are housing cycles across these countries? Second, what are the main shocks driving movements in global house prices? To address these questions, we first estimate the global components in house prices and various macroeconomic and financial variables. We then evaluate the roles played by a variety of global shocks, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price fluctuations using a wide range of FAVAR models. We find that house prices are synchronized across countries, and the degree of synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices whereas global monetary policy shocks per se do not appear to have a sizeable impact. Interestingly, uncertainty shocks seem to be important in explaining fluctuations in global house prices. |
| URL: | http://d.repec.org/n?u=RePEc:qsh:wpaper:164451&r=ifn |
| By: | Raddatz, Claudio; Schmukler, Sergio L.; Williams, Tomas |
| Abstract: | This paper studies channels through which well-known benchmark indexes impact asset allocations and capital flows across countries. The study uses unique monthly micro-level data of benchmark compositions and mutual fund investments during 1996-2012. Benchmarks have important effects on equity and bond mutual fund portfolios across funds with different degrees of activism. Benchmarks explain, on average, around 70 percent of country allocations and have significant impact even on active funds. Benchmark effects are important after controlling for industry, macroeconomic, and country-specific, time-varying effects. Reverse causality does not drive the results. Exogenous, pre-announced changes in benchmarks result in movements in asset allocations mostly when these changes are implemented (not when announced). By impacting country allocations, benchmarks affect capital flows across countries through direct and indirect channels, including contagion. They explain apparently counterintuitive movements in capital flows, generating outflows from countries when upgraded and with large market capitalization and better relative performance. |
| Keywords: | Mutual Funds,Debt Markets,Economic Theory&Research,Information Security&Privacy,Emerging Markets |
| Date: | 2014–05–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:6866&r=ifn |