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Capital Flows to Russia, Ukraine, and Belarus: Does "Hot" Money Respond Differently to Macroeconomic Shocks?

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  • Scott W. Hegerty

Abstract

Capital flows into the former Soviet bloc have increased tremendously since the mid-1990s. Since the new members of the European Union have received most of the attention, few empirical studies have looked at Russia or the rest of the CIS. This study applies the structural VAR model of Ying and Kim (2001) to investigate the macroeconomic "push" and "pull" factors behind net flows of FDI, portfolio, and other investment into Russia, Ukraine and Belarus. Impulse-response and variance decomposition analysis shows that domestic income and monetary shocks, as well as foreign income and interest-rate shocks, have effects that vary by flow and by country. Russian FDI and portfolio investment show significant, but different, responses to income and foreign interest-rate shocks. In addition, Belarus responds positively to improved macroeconomic fundamentals.

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Bibliographic Info

Article provided by New York State Economics Association (NYSEA) in its journal New York Economic Review.

Volume (Year): 42 (2011)
Issue (Month): 1 ()
Pages: 47-62

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Handle: RePEc:nye:nyervw:v:42:y:2011:i:1:p:47-62

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  1. David Vávra & Inci Ötker & Barry Topf & Zbigniew Polanski, 2007. "Coping with Capital Inflows," IMF Working Papers 07/190, International Monetary Fund.
  2. Nada Mora & Ratna Sahay & Jeromin Zettelmeyer & Pietro Garibaldi, 2002. "What Moves Capital to Transition Economies?," IMF Working Papers 02/64, International Monetary Fund.
  3. Jurgen Von Hagen & Iulia Siedschlag, 2008. "Managing Capital Flows: Experiences from Central and Eastern Europe," Papers WP234, Economic and Social Research Institute (ESRI).
  4. Martin Melecky, 2005. "The Impact of Current Account Reversals on Growth in Central and Eastern Europe," Eastern European Economics, M.E. Sharpe, Inc., vol. 43(2), pages 57-72, March.
  5. Scott W Hegerty, 2009. "Capital flows to transition economies: what is the role of external shocks?," Economics Bulletin, AccessEcon, vol. 29(2), pages 1345-1358.
  6. Sarno, Lucio & Taylor, Mark P., 1999. "Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation," Journal of Development Economics, Elsevier, vol. 59(2), pages 337-364, August.
  7. Chuhan, Punam & Perez-Quiros, Gabriel & Popper, Helen, 1996. "International capital flows : do short-term investment and direct investment differ?," Policy Research Working Paper Series 1669, The World Bank.
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