Coincident Indicators of Capital Flows

Miao, Yanliang; Pant, Malika

doi:10.2139/ssrn.2012240

Cited by 12 publications

(8 citation statements)

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“…19 In this section, the terms "nowcast," "forecast," and "prediction" are used interchangeably. 20 As noted in Miao and Pant (2012), variants of this approach have been used by several studies to obtain timely proxies of capital flow movements, including Calvo et al (2004Calvo et al ( , 2008. One limitation of this approach is that trade in services, primary income, and secondary income play major roles in some EMs, causing errors in the estimation.…”

Section: Discussionmentioning

confidence: 99%

“…More broadly speaking, there is very limited literature discussing methods to track capital flows in real time. One important study is Miao and Pant (2012), which highlights the serious limitations of traditional capital flow data for surveillance and policymaking purposes. The authors propose two methods to address this data gap.…”

Section: Real-time Tracking Of Portfolio Flowsmentioning

confidence: 99%

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Capital flow data—A guide for empirical analysis and real‐time tracking

Sgherri

Paetzold

2022

Int. J Fin Econ

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This paper provides an analytical overview of the most widely used capital flow datasets. The paper is written as a guide for academics who embark on empirical research projects and for policymakers who need timely information on capital flow developments to inform their decisions. We address common misconceptions about capital flow data and discuss differences between high‐frequency proxies for portfolio flows. In a nowcasting “horse race” we show that high‐frequency proxies have significant predictive content for portfolio flows from the balance of payments (BoP). We also construct a new dataset for academic use, consisting of monthly portfolio flows broadly consistent with BoP data.

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Section: Discussionmentioning

confidence: 99%

Section: Real-time Tracking Of Portfolio Flowsmentioning

confidence: 99%

Capital flow data—A guide for empirical analysis and real‐time tracking

Sgherri

Paetzold

2022

Int. J Fin Econ

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“…The data from EPFR does not cover the full market capitalisation of equites and bonds, but, according to Miao and Pant (2012) and Fratzscher (2012), it provides a relatively representative sample with aggregate portfolio flows from EPFR matching the patterns of those from official balance-of-payments statistics closely. The main advantages of the EPFR data compared to balance-of-payments data are the more detailed breakdowns in different asset classes and the possibility to decompose portfolio flows into nominal and valuation changes.…”

Section: The Data Setmentioning

confidence: 99%

Investment Funds, Monetary Policy, and the Global Financial Cycle

Kaufmann

2022

Journal of the European Economic Association

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This paper examines the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital flows receded significantly in the aftermath of the global financial crisis, portfolio flows from investors actively searching for yield on financial markets world-wide gained importance during the post-crisis “second phase of global liquidity”(Shin 2013). The analysis presented in this paper shows that a loosening of US monetary policy leads to higher investment fund inflows to equities and debt globally. Focussing on the euro area, these inflows not only imply elevated asset prices, but also coincide with increased debt and equity issuance. The findings demonstrate the growing importance of non-bank financial intermediation over the past decade and hold important policy implications for monetary and financial stability.

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“…7 This is relevant given that academic research has made little use of BoP-consistent portfolio flow data at high data frequencies. 8 Thus, proxy data on monthly, weekly and even daily flows from Emerging Portfolio Fund Research (EPFR) have been often used in the analysis of the determinants of capital flows to EMEs (Miao and Pant, 2012). 9 For a very detailed analysis of capital flows in emerging economies during and after the financial crisis see Ahmed and Zlate (2014).…”

Section: Introductionmentioning

confidence: 99%

Capital flows to emerging economies and global risk aversion during the COVID‐19 pandemic

et al. 2023

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This paper analyzes recent changes in the relative importance of the determinants of capital flows to emerging market economies. For this purpose, we estimate vector autoregressive (VAR) models for the period 2009-2020. Based on these models, we estimate the effects on debt flows from shocks to their determinants. Then, we quantify the contribution of each of the variables included in the model to explain the evolution of these flows in each month of the sample through a historical decomposition analysis. The main results indicate that the contribution of global risk aversion to explain the evolution of debt flows increased during March 2020 compared to the past, although its relative importance has decreased since, particularly as the performance of financial markets improved.

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Coincident Indicators of Capital Flows

Cited by 12 publications

References 0 publications

Capital flow data—A guide for empirical analysis and real‐time tracking

Capital flow data—A guide for empirical analysis and real‐time tracking

Investment Funds, Monetary Policy, and the Global Financial Cycle

Capital flows to emerging economies and global risk aversion during the COVID‐19 pandemic

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