This analysis reveals how US interest rate changes and global risk influence capital flows in emerging markets, suggesting significant economic impacts.
This paper investigates effects of United States (US) interest rate and global risk on daily capital flows in emerging market (EM) countries during an analytical period from 11 November 2015 to 2 October 2018. Country-specific VAR models are used to analyze both determinants of capital flows in EM countries and contagion of capital flows among EM countries. We found that not only pull factors but also such push factors as market participantsʼ expectation of US interest rate and global risk aversion changed capital flows from EM countries. Moreover, we found that contagion of capital flows widely exited among EM countries.
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Ogawa et al. (2023) studied this question.
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