{
  "title": "The Volatility of Capital Flows in Emerging Markets: Measures and Determinants",
  "publication": "IMF Working Papers, March 7, 2017",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2017/03/07/the-volatility-of-capital-flows-in-emerging-markets-measures-and-determinants-44725",
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  "summary": "Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Authors: Maria Sole Pagliari, Swarnali A Hannan\n- Date: March 7, 2017\n- Core objective: Analyze capital flow volatility in emerging markets in two dimensions:\n  - Construct three measures of volatility for total capital flows and key instruments.\n  - Perform panel regressions to identify determinants of volatility.\n- Sample and period: quarterly data for 65 countries over the period 1970Q1-2016Q1.\n- Primary finding: Volatility of all instruments is prone to bouts, rising sharply during global shocks like the taper tantrum episode.\n- Policy relevance: Capital flow volatility remains a challenge for policy makers; characteristics of volatility can differ from those of flow levels."
    },
    {
      "heading": "Data and volatility measures",
      "content": "- Sample: 65 countries.\n- Frequency and coverage: quarterly data spanning 1970Q1-2016Q1.\n- Measures constructed: three measures of volatility (for total capital flows and key instruments)."
    },
    {
      "heading": "Key empirical findings",
      "content": "- Volatility behavior:\n  - All instruments exhibit bouts of heightened volatility.\n  - Volatility rises sharply during global shocks (example cited: the taper tantrum episode).\n- Distinction between levels and volatility:\n  - Regression results indicate that determinants of volatility differ from determinants of flow levels.\n- Role of factors:\n  - Push factors can be more important than pull factors in explaining volatility."
    },
    {
      "heading": "Methodology (overview)",
      "content": "- Approach: construction of volatility measures followed by panel regressions to assess determinants.\n- Instruments analyzed: total capital flows and key instruments (instrument-level measures constructed; specifics in full paper)."
    },
    {
      "heading": "Policy implications and interpretation",
      "content": "- Capital flow volatility poses macroeconomic and financial stability concerns for emerging markets.\n- Because push factors may dominate pull factors in driving volatility, policies focusing solely on domestic (pull) conditions may be insufficient to mitigate volatility.\n- Policymakers should account for global shock transmission when designing macroeconomic and financial stability frameworks.\n\n---\n\n Content in this bundle\n\n- wp1741\n  - wp1741 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp1741 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2017/03/07/the-volatility-of-capital-flows-in-emerging-markets-measures-and-determinants-44725"
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    "Authors: Maria Sole Pagliari, Swarnali A Hannan",
    "Published: March 7, 2017",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781475585254.001",
    "Authors: Maria Sole Pagliari, Swarnali A Hannan",
    "Date: March 7, 2017",
    "Core objective: Analyze capital flow volatility in emerging markets in two dimensions:",
    "Sample and period: quarterly data for 65 countries over the period 1970Q1-2016Q1.",
    "Primary finding: Volatility of all instruments is prone to bouts, rising sharply during global shocks like the taper tantrum episode.",
    "Policy relevance: Capital flow volatility remains a challenge for policy makers; characteristics of volatility can differ from those of flow levels.",
    "Sample: 65 countries.",
    "Frequency and coverage: quarterly data spanning 1970Q1-2016Q1.",
    "Measures constructed: three measures of volatility (for total capital flows and key instruments).",
    "Volatility behavior:",
    "Distinction between levels and volatility:",
    "Role of factors:",
    "Approach: construction of volatility measures followed by panel regressions to assess determinants.",
    "Instruments analyzed: total capital flows and key instruments (instrument-level measures constructed; specifics in full paper).",
    "Capital flow volatility poses macroeconomic and financial stability concerns for emerging markets.",
    "Because push factors may dominate pull factors in driving volatility, policies focusing solely on domestic (pull) conditions may be insufficient to mitigate volatility.",
    "Policymakers should account for global shock transmission when designing macroeconomic and financial stability frameworks.",
    "**wp1741**"
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