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on International Finance |
| By: | Andrés Fernández; Michael W. Klein; Alessandro Rebucci; Martin Schindler; Martin Uribe |
| Abstract: | This paper presents a new dataset of capital control restrictions on both inflows and outflows of 10 categories of assets for 100 countries over the period 1995 to 2013. Building on the data in Schindler (2009) and other datasets based on the analysis of the IMF’s Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER), this dataset includes additional asset categories, more countries, and a longer time period. The paper discusses in detail the construction of the dataset and characterizes the data with respect to the prevalence and correlation of controls across asset categories and between controls on inflows and controls on outflows, the aggregation of the separate categories into broader indicators, and the comparison of this dataset with other indicators of capital controls. |
| Keywords: | Capital controls;Capital flows;Capital inflows;Capital outflows;Data analysis;Time series;capital control measures, international financial integration, exchange, international capital, investment, monetary fund, General, Financial Aspects of Economic Integration, |
| Date: | 2015–04–22 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:15/80&r=all |
| By: | Qianying Chen; Andrew Filardo; Dong He; Feng Zhu |
| Abstract: | We study the impact of the US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM) and conducting counterfactual analyses. We focus on the effects of reductions in the US term and corporate spreads. First, US QE measures reducing the US corporate spread appear to be more important than lowering the US term spread. Second, US QE measures might have prevented episodes of prolonged recession and deflation in the advanced economies. Third, the estimated effects on the emerging economies have been diverse but often larger than those recorded in the US and other advanced economies. The heterogeneous effects from US QE measures indicate unevenly distributed benefits and costs. |
| Keywords: | Financial crises;Financial crisis;Spillovers;Monetary policy;Unconventional monetary policy instruments;United States;United States;emerging economies, global VAR, international monetary policy spillovers, quantitative easing, unconventional monetary policy, federal reserve, securities, reserve, Financial Markets and the Macroeconomy, Monetary Policy (Targets, Instruments, and Effects), Studies of Particular Policy Episodes, International Policy Coordination and Transmission, Forecasting and Simulation, |
| Date: | 2015–04–29 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:15/85&r=all |
| By: | Juliana Dutra Araujo; Antonio David; Carlos van Hombeeck; Chris Papageorgiou |
| Abstract: | Using a newly developed dataset this paper examines the cyclicality of private capital inflows to low-income developing countries (LIDCs) over the period 1990-2012. The empirical analysis shows that capital inflows to LIDCs are procyclical, yet considerably less procyclical than flows to more advanced economies. The analysis also suggests that flows to LIDCs are more persistent than flows to emerging markets (EMs). There is also evidence that changes in risk aversion are a significant correlate of private capital inflows with the expected sign, but LIDCs seem to be less sensitive to changes in global risk aversion than EMs. A host of robustness checks to alternative estimation methods, samples, and control variables confirm the baseline results. In terms of policy implications, these findings suggest that private capital inflows are likely to become more procyclical as LIDCs move along the development path, which could in turn raise several associated policy challenges, not the least concerning the reform of traditional monetary policy frameworks. |
| Keywords: | Capital flows;Low-income developing countries;Cyclicality, Emerging Markets, capital inflows, private capital, international capital, developing countries, Open Economy Macroeconomics, Macroeconomic Analyses of Economic Development, Emerging Markets., |
| Date: | 2015–07–17 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:15/163&r=all |
| By: | Valentina Bruno; Hyun Song Shin |
| Abstract: | We conduct a firm-level analysis of borrowing in US dollars by non-financial corporates from outside the United States. The dataset combines bond issuance data with firm-level financial information. We find that firms with already high cash holdings are more likely to issue US dollar-denominated bonds, and that the proceeds of the bond issue add to cash holdings. The tendency to add cash is more pronounced during periods when the dollar carry trade is more favourable and is prevalent for emerging market firms. |
| Keywords: | emerging markets, bond issuance, surrogate intermediaries |
| Date: | 2015–08 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:510&r=all |
| By: | Jasmine Xiao |
| Abstract: | This paper utilizes a new dataset of foreign and domestic mutual funds in Mexico to assess their behavior and obtains three new findings. First, foreign mutual funds are more sensitive to global financial conditions and engage more in herding and positive feedback trading than domestic mutual funds, notably during episodes of market stress. Second, the behavior of foreign funds differs substantially across types of funds: bond funds are more sensitive to global factors and engage more in positive feedback trading than equity funds; funds sold to retail investors, open-end funds, small funds, and regional funds also appear to be less stable sources of capital flows. Third, there is indicative evidence that foreign funds’ trading behavior is associated with higher local market volatilities, notably in periods of market stress; however, domestic mutual fund investors played some mitigating role. |
| Keywords: | Capital flows;Capital market volatility;Emerging markets;Mutual funds;Mexico;International financial markets;Foreign investment;herding, feedback trading, flows, foreign mutual funds, bond, domestic mutual funds, Portfolio Choice, |
| Date: | 2015–05–13 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:15/104&r=all |
| By: | Deniz Igan; Zhibo Tan |
| Abstract: | Exploiting a granular panel dataset that breaks down capital inflows into FDI, portfolio and other categories, and distinguishes between credit to the household sector and to the corporate sector, we investigate the association between capital inflows and credit growth. We find that non-FDI capital inflows boost credit growth and increase the likelihood of credit booms in both household and corporate sectors. For household credit growth, the composition of capital inflows appears to be more important than financial system characteristics. In contrast, for corporate credit growth, both the composition and the financial system matter. Regardless of sectors and financial systems, net other inflows are always linked to rapid credit growth. Firm-level data corroborate these findings and hint at a causal link: net other inflows are related to more rapid credit growth for firms that rely more heavily on external financing. Further explorations on how capital flows translate into more credit indicate that both demand and supply side factors play a role. |
| Keywords: | Capital inflows;Foreign direct investment;Credit expansion;Corporate sector;Household credit;Financial systems;Financial development, Financial structure, Capital flows, Credit |
| Date: | 2015–08–19 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:15/193&r=all |
| By: | Brent Neiman (University of Chicago); Alberto Cavallo (MIT) |
| Abstract: | We construct a dataset containing daily prices for hundreds of goods that collectively represent the bulk of expenditures on fuel, food, and consumer electronics in seven countries since 2010. Relative to earlier work, including our own, we significantly increase the coverage of goods studied by measuring prices in common physical units such as grams, items, or liters. We can therefore reasonably compare across countries the prices of otherwise identical goods sold in slightly different package sizes. We use these data to ask how price levels and dynamics for the same good varies across countries, with a focus on uncovering the extent to which the exchange rate, measurement error, and price stickiness dictate the extent of law of one price variations. Finally, we consistently scrape the web pages of the 10 largest online retailers in each country and note the total number of available varieties within narrowly defined categories. This allows us to, for the first time, characterize the scale of cross-country differences in the availability of consistently defined consumer varieties. |
| Date: | 2015 |
| URL: | http://d.repec.org/n?u=RePEc:red:sed015:502&r=all |