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Cyclical behavior of international fund flows

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  • Li, Suxiao
  • de Haan, Jakob
  • Scholtens, Bert

Abstract

We investigate the cyclicality of international fund flows employing correlation and regression analysis using monthly data for almost 70 countries between 1996 and 2013. International fund flows are cross-border investments by global funds. Our results suggest that contemporaneously international fund flows are counter-cyclical: fund flows are above trend when output is below trend. Bond flows are more counter-cyclical than equity flows. Furthermore, the counter-cyclical behavior of fund flows has become more pronounced after the global financial crisis. Fund flows into non-OECD countries are mainly driven by global factors while fund flows into OECD countries are more influenced by country-specific factors.

Suggested Citation

  • Li, Suxiao & de Haan, Jakob & Scholtens, Bert, 2018. "Cyclical behavior of international fund flows," Research in International Business and Finance, Elsevier, vol. 43(C), pages 99-112.
    • Handle: RePEc:eee:riibaf:v:43:y:2018:i:c:p:99-112
    DOI: 10.1016/j.ribaf.2017.07.123
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    More about this item

    Keywords

    International fund flows; Cyclicality; Equity flows; Bond flows; Push and pull factors;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F30 - International Economics - - International Finance - - - General
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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