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Determinantes De Los Flujos Netos De Capital. Alguna Evidencia Para La Economia Argentina

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  • LANTERI, Luis N.

Abstract

El objetivo de este trabajo es investigar los determinantes de los flujos netos de capital para el caso de la economía Argentina. Se plantea un modelo de VEC estructural (SVEC) en relación con las causas de los flujos netos de capital y se emplean funciones de impulso-respuesta y análisis de descomposición de la varianza para determinar la reacción dinámica de los shocks de expulsión y atracción de estos flujos. A su vez, se evalúan los principales efectos de los flujos de capital y en particular sobre el producto doméstico y el tipo de cambio real. Los modelos estimados, que utilizan datos trimestrales para el período 1991:1-2008:4, muestran que los shocks en el producto y en las tasas de interés externas, así como los shocks de productividad domésticos y el riesgo país serían las fuerzas más importantes para explicar las variaciones de los flujos netos de capital hacia este país. The aim of this paper is to investigate the determinants of net capital flows to Argentine’s economy. An structural VEC model (SVEC) in relation with the causes of capital flows is developed, and impulse response and variance decomposition analyses are used to determine the dynamic reaction of shocks to push and pull factors on net capital flows. In turn, the paper evaluates the main effects of capital flows and particularly on the domestic product and the real exchange rate. Estimating of the models using quarterly data for the period 1991:1-2008:4 show that shocks to foreign output, international interest rates, domestic productivity and country risk would be the most important forces explaining the variations in net capital flows to this country.

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Bibliographic Info

Article provided by Euro-American Association of Economic Development in its journal Estudios Economicos de Desarrollo Internacional.

Volume (Year): 10 (2010)
Issue (Month): 1 ()
Pages: 57-84

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Handle: RePEc:eaa:eedein:v:10:y2010:i:10_3

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Related research

Keywords: Flujos netos de capital; Factores de expulsión y de atracción; Modelos de SVEC; Net capital flows; Push and Pull factors; SVEC models.;

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References

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  1. Mogrovejo, Jesus, 2005. "Factores determinantes de la inversión extranjera directa en algunos paises de latinoamerica, 1990-2003," Estudios Economicos de Desarrollo Internacional, Euro-American Association of Economic Development, vol. 5(2).
  2. Prema-Chandra Athukorala & Sarath Rajapatirana, 2003. "Capital Inflows and the Real Exchange Rate: A Comparative Study of Asia and Latin America," The World Economy, Wiley Blackwell, vol. 26(4), pages 613-637, 04.
  3. Fernandez-Arias, Eduardo & DEC, 1994. "The new wave of private capital inflows : push or pull?," Policy Research Working Paper Series 1312, The World Bank.
  4. Mark S. Carlson & Leonardo Hernández, 2002. "Determinants and Repercussions of the Composition of Capital Inflows," IMF Working Papers 02/86, International Monetary Fund.
  5. Helmut Luetkepohl & Pentti Saikkonen, 2000. "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Econometric Society World Congress 2000 Contributed Papers 0342, Econometric Society.
  6. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4, pages 307-339, 08.
  7. Mogrovejo, Jesús, 2005. "Factores determinantes de la inversión extranjera directa en algunos países de Latinoamérica," Revista Latinoamericana de Desarrollo Economico, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana, issue 5, pages 51-82, Octubre.
  8. Carlos Aguiar de Medeiros, 2008. "Financial dependency and growth cycles in Latin American countries," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 31(1), pages 79-99, September.
  9. Chuhan, Punam & Claessens, Stijn & Mamingi, Nlandu, 1998. "Equity and bond flows to Latin America and Asia: the role of global and country factors," Journal of Development Economics, Elsevier, vol. 55(2), pages 439-463, April.
  10. Glauco De Vita & Khine S. Kyaw, 2008. "Determinants of capital flows to developing countries: a structural VAR analysis," Journal of Economic Studies, Emerald Group Publishing, vol. 35(4), pages 304-322, July.
  11. Mark Carlson & Leonardo Hernandez, 2002. "Determinants and repercussions of the composition of capital inflows," International Finance Discussion Papers 717, Board of Governors of the Federal Reserve System (U.S.).
  12. Corden, W. Max, 1994. "Economic Policy, Exchange Rates, and the International System," OUP Catalogue, Oxford University Press, number 9780198774099, September.
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