Capital Flows Research Papers - Academia.edu (original) (raw)

This paper documents the available evidence on international portfolio investment in five OECD countries. We draw three conclusions from the data. First, there is strong evidence of a home bias in national investment portfolios despite... more

This paper documents the available evidence on international portfolio investment in five OECD countries. We draw three conclusions from the data. First, there is strong evidence of a home bias in national investment portfolios despite the potential gains from international diversification. Second, the composition of the portfolio of foreign securities seems to reflect factors other than diversification of risk. Third, the high volume of cross-border capital flows and the high turnover rate on foreign equity investments relative to turnover on domestic equity markets suggests that variable transactions costs are an unlikely explanation for home bias.

We study network activities of entrepreneurs through three phases of establishing a firm in four countries. Entrepreneurs access people in their networks to discuss aspects of establishing and running a business. We find that... more

We study network activities of entrepreneurs through three phases of establishing a firm in four countries. Entrepreneurs access people in their networks to discuss aspects of establishing and running a business. We find that entrepreneurs build networks that systematically vary by the phase of entrepreneurship, analyzing number of their discussion partners, and the time spent networking. Entrepreneurs talk with more people during the planning than other phases. Family members are present in their networks in all phases, particularly among those who took over an existing firm. However, women use their kin to a larger extent than men, and even more than men when they take over an existing firm. Experienced entrepreneurs have the same networking patterns as novices. Moreover, these networking patterns are the same in all countries. However, there are country differences in size of discussion networks and time spent networking.

We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal component accounts for 64 percent of the... more

We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal component accounts for 64 percent of the variation in sovereign credit spreads. Furthermore, sovereign credit spreads are more related to the US stock and high-yield markets than they are to local economic measures. We decompose credit spreads into their risk premium and default risk components. On average, the risk premium represents about a third of the credit spread. (JEL F34, G15, O16, O19, P34)

In the early 1990s capital inflows to Asia were primarily foreign direct investment (FDI). Latin America was attracting little FDI and much more 'hot money'. This fed the view that Latin America was more vulnerable to reversals... more

In the early 1990s capital inflows to Asia were primarily foreign direct investment (FDI). Latin America was attracting little FDI and much more 'hot money'. This fed the view that Latin America was more vulnerable to reversals of capital flows than Asia. Yet, regional differences were ...

This paper assesses some of the explanations that have been put forward for the global pattern of current account imbalances that has emerged in recent years: in particular, the large U.S. current account deficit and the large surpluses... more

This paper assesses some of the explanations that have been put forward for the global pattern of current account imbalances that has emerged in recent years: in particular, the large U.S. current account deficit and the large surpluses of the Asian developing economies. Based on the approach developed by Chinn and Prasad (2003), we use data for 61 countries during 1982-2003 to estimate panel regression models for the ratio of the current account balance to GDP. We find that a model that includes as its explanatory variables the standard determinants of current accounts proposed in the literature-–per capita income, relative growth rates, the fiscal balance, demographic variables, and economic openness-–can account for neither the large U.S. deficit nor large Asian surpluses of the 1997-2003 period. However, when we include a variable representing financial crises, which might be expected to restrain domestic demand and boost the current account balance, the model explains much of d...

Purpose – The aim of the study is to investigate the relative significance of the determinants of disaggregated capital flows (foreign direct investment and portfolio flows) to five developing countries, across different time horizons.... more

Purpose – The aim of the study is to investigate the relative significance of the determinants of disaggregated capital flows (foreign direct investment and portfolio flows) to five developing countries, across different time horizons. Design/methodology/approach – An empirically tractable structural VAR model of the determinants of capital flows is developed, and variance decomposition and impulse response analyses are used to

This article constructs and estimates a sticky-price, Dynamic Stochastic General Equilibrium model with heterogeneous production sectors. Firms in different sectors vary in their price rigidity, production technology, and the combination... more

This article constructs and estimates a sticky-price, Dynamic Stochastic General Equilibrium model with heterogeneous production sectors. Firms in different sectors vary in their price rigidity, production technology, and the combination of material and investment inputs. In particular, firms buy inputs from all sectors using the actual Input–Output Matrix and Capital Flow Table of the U.S. economy. By relaxing the standard assumption of symmetry, this model allows idiosyncratic sectoral dynamics in response to monetary policy shocks. The model is estimated by the Generalized Method of Moments using sectoral and aggregate U.S. time series.