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150128 ||| eng |
020 |
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|a 9781498340229
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100 |
1 |
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|a Ananchotikul, Nasha
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245 |
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|a Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets
|c Nasha Ananchotikul, Longmei Zhang
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260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2014
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300 |
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|a 33 pages
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651 |
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4 |
|a United States
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653 |
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|a Interest rates
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653 |
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|a Finance
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653 |
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|a Financial services
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653 |
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|a Deflation
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653 |
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|a Bond yields
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653 |
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|a Exports and Imports
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653 |
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|a Yield curve
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653 |
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|a Asset prices
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653 |
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|a Foreign Exchange
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653 |
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|a Capital flows
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653 |
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|a Bonds
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653 |
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|a Macroeconomics
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653 |
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|a Event Studies
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653 |
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|a Investment Decisions
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653 |
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|a Foreign exchange
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653 |
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|a Inflation
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653 |
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|a International Finance Forecasting and Simulation
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653 |
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|a Financial institutions
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653 |
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|a Balance of payments
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653 |
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|a Long-term Capital Movements
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653 |
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|a Currency
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653 |
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|a General Financial Markets: General (includes Measurement and Data)
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653 |
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|a Investments: Bonds
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653 |
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|a International economics
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653 |
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|a Price Level
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653 |
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|a Banks and Banking
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653 |
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|a Prices
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653 |
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|a Information and Market Efficiency
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653 |
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|a Interest Rates: Determination, Term Structure, and Effects
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653 |
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|a Capital movements
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653 |
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|a Investment & securities
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653 |
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|a Exchange rates
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653 |
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|a Portfolio Choice
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653 |
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|a International Investment
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700 |
1 |
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|a Zhang, Longmei
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041 |
0 |
7 |
|a eng
|2 ISO 639-2
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989 |
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|b IMF
|a International Monetary Fund
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490 |
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|a IMF Working Papers
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028 |
5 |
0 |
|a 10.5089/9781498340229.001
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856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2014/156/001.2014.issue-156-en.xml?cid=41852-com-dsp-marc
|x Verlag
|3 Volltext
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082 |
0 |
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|a 330
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520 |
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|a In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis
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