Bilateral cross-border banking and macroeconomic determinants

Financial, Institutional and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows

“…contagion effects). Araujo et al (2017); Everett and Galstyan (2020); Obstfeld and Rogoff (2001); Portes et al (2001) and Portes and Rey (2005) have demonstrated that the gravity model can explain financial flows as well as trade flows. As an example, a typical gravity variable is distance, where in a trade context this proxies for trade costs.…”

Leverage cycles, growth shocks, and sudden stops in capital inflows

“…In a recent study on sudden stops of international fund flows, Li et al (2018) show that global, contagion, and domestic factors are all related to the likelihood of sudden stops. Everett and Galstyan (2020) show that domestic factors are equally important to push factors in source countries in the context of bank portfolio holdings. Forbes and Warnock (2020) show that, since the GFC, extreme capital flow movements have become less correlated with global push factors such as changes in global risk aversion.…”

Global risk and portfolio flows to emerging markets: Evidence from irish-resident investment funds

“…3 They provide evidence in favour of both domestic factors, such as countries' credit rating, and global factors, such as US interest rates, in explaining capital inflows. Highlighting the distinction between domestic and foreign investors, Forbes and Warnock (2012) study episodes of capital flow waves from 1 Using bilateral data on bank flows, Everett and Galstyan (2020) estimate a financial gravity model to extract the host and source fixed effects that are then matched against various macroeconomic variables to help identify 'pull' factors. The advantage of this approach is that the factors do not have to be identified in advance, while also allowing for a presence of bilateral linkages.…”