International gross capital flows: New uses of balance of payments data and application to financial crises

Janus, Thorsten; Riera‐Crichton, Daniel

doi:10.1016/j.jpolmod.2012.09.003

Cited by 22 publications

(13 citation statements)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Secondly, there is the work that establishes a connection between increasing capital flows and SS [9,17,18]. Finally, there are studies that have developed models for predicting SS [5,6,7].…”

Section: Literature Reviewmentioning

confidence: 99%

“…It obtained an accuracy of around 72%. [6] used a Logit model based on a sample of 43 countries for the period 1970-2009, separating the capital flows of countries into four components. They found that this separation helped better understand recent financial crises and improved prediction of SS compared to the standard two-way breakdown, with an accuracy of around 68%.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The recent literature contains a number of models for predicting SS [5][6][7]. These models have shown a preceding capital boom to be a good predictor of SS [8][9][10], together with increases in capital inflows accompanied by weak economic data and appreciated real exchange rates or high current account deficits [5,11,12].…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

A global prediction model for sudden stops of capital flows using decision trees

et al. 2020

View full text Add to dashboard Cite

Capital flows is an important aspect of the international monetary system because they provide great direct and indirect benefits, and at the same time, they carry risks of vulnerability for countries with an open economy. Numerous works have studied the behavior of these flows and have developed models to predict sudden stop events. However, the existing models have limitations and the literature demands more research on the subject given that the accuracy of the models is still poor, and they have only been developed for emerging countries. This paper presents a new prediction model of sudden stop events of capital flows for both emerging countries and developed countries with the ability to estimate accurately future sudden stop scenarios globally. A sample of 103 countries was used, including 73 emerging countries and 30 developed countries, which has allowed the use of sample combinations that consider the regional heterogeneity of the warning indicators. To the sample under study, a method of decision trees has been applied, which has provided excellent prediction results given its ability to learn characteristics and create long-term dependencies from sequential data and time series. Our model has a great potential impact on the adequacy of macroeconomic policy against the risks derived from sudden stops of capital flows, providing tools that help to achieve financial stability at the global level.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

A global prediction model for sudden stops of capital flows using decision trees

et al. 2020

View full text Add to dashboard Cite

show abstract

“…First, we characterize the relationships between gross international capital flows and the onsets of banking, currency, and sudden stop crises a four-way decomposition of the net capital inflow based on Janus and Riera-Crichton (2013). In contrast, most of the existing literature on gross capital flows relies on a two-way decomposition of the net inflow.…”

Section: Introductionmentioning

confidence: 99%

“…For example, GIR for country j in year t is the sum of the declines in external liabilities in the financial and capital accounts of the annual balance of payments, (Lane and Milesi-Ferretti 2007, Janus and Riera-Crichton 2013, 2014. We use the same method to compute…”

mentioning

confidence: 99%

Banking Crises, External Crises and Gross Capital Flows

Janus¹,

Riera‐Crichton²

2016

gwp

Self Cite

View full text Add to dashboard Cite

In this paper, we study the relationship between banking crises, external financial crises and gross international capital flows. First, we confirm that banking and external crises are correlated. Then, as we explore the role of gross capital flows, we find that declines of external liabilities in the balance of payments -a proxy for foreign capital repatriation we call gross foreign investment reversals (GIR) -predict banking as well as external crises. Finally, we estimate the effects of GIR-associated banking crises on the risk of currency and sudden stop crises in an instrumental-variables specification. In developing countries, GIRassociated banking crises increase the onset risk for currency and sudden stop crises by 39-50 and 28-30 percentage points per year respectively. For OECD countries, we show an increase in the currency crisis risk by 33-45 percentage points. JEL codes: F32,

show abstract

Volatile capital flows and economic growth in sub-Saharan Africa: the role of transparency

Odo,

Urama,

Odionye

2024

Empir Econ

View full text Add to dashboard Cite

International gross capital flows: New uses of balance of payments data and application to financial crises

Cited by 22 publications

References 26 publications

A global prediction model for sudden stops of capital flows using decision trees

A global prediction model for sudden stops of capital flows using decision trees

Banking Crises, External Crises and Gross Capital Flows

Volatile capital flows and economic growth in sub-Saharan Africa: the role of transparency

Contact Info

Product

Resources

About