The Resource Portfolio flows, global risk aversion and asset prices in emerging markets, Nasha Ananchotikul and Longmei Zhang

Portfolio flows, global risk aversion and asset prices in emerging markets, Nasha Ananchotikul and Longmei Zhang

Label
Portfolio flows, global risk aversion and asset prices in emerging markets
Title
Portfolio flows, global risk aversion and asset prices in emerging markets
Statement of responsibility
Nasha Ananchotikul and Longmei Zhang
Creator
Contributor
Subject
Language
eng
Summary
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. --Abstract
Member of
Cataloging source
DJB
Dewey number
338.90091724
Government publication
international or intergovernmental publication
Illustrations
illustrations
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 No. 14/156eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
IMF working paper
Series volume
WP/14/156
Label
Portfolio flows, global risk aversion and asset prices in emerging markets, Nasha Ananchotikul and Longmei Zhang
Publication
Note
  • "Asia and Pacific Department"--Page 2 of pdf
  • "August 2014"--Page 2 of pdf
Bibliography note
Includes bibliographical references (pages 23-24)
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
ocn888222366
Extent
1 online resource (33 pages)
Form of item
online
Isbn
9781498301817
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other physical details
color illustrations
http://library.link/vocab/recordID
.b34919697
Specific material designation
remote
System control number
  • (OCoLC)888222366
  • imf1498301819

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
Processing Feedback ...