Hot money in bank credit flows to emerging markets during the banking globalization era

被引：17

作者：

Fuertes, Ana-Maria ^{[1
]}

Phylaktis, Kate ^{[1
]}

Yan, Cheng ^{[1
]}

机构：

[1] City Univ London, Cass Business Sch, 106 Bunhill Row, London EC1Y 8TZ4, England

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2016年 / 60卷

关键词：

International capital flows; Hot money; Crisis transmission; Banking globalisation; Kalman filter; LIQUIDITY SHOCKS EVIDENCE; CAPITAL FLOWS; INTERNATIONAL TRANSMISSION; FINANCIAL CRISIS; ROLLOVER RISK; GLOBAL BANKS; UNIT-ROOT; EQUITY; FLIGHT; ASIA;

D O I：

10.1016/j.jimonfin.2014.10.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the relative importance of hot money in bank credit and portfolio flows from the US to 18 emerging markets over the period 1988-2012. We deploy state-space models a la Kalman filter to identify the unobserved hot money as the temporary component of each type of flow. The analysis reveals that the importance of hot money relative to the permanent component in bank credit flows has significantly increased during the 2000s relative to the 1990s. This finding is robust to controlling for the influence of push and pull factors in the two unobserved components. The evidence supports indirectly the view that global banks have played an important role in the transmission of the global financial crisis to emerging markets, and endorses the use of regulations to manage international capital flows. (C) 2014 Elsevier Ltd. All rights reserved.

引用

页码：29 / 52

页数：24

共 41 条

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