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Les déterminants des entrées de capitaux en Asie : quel rôle pour les stratégies de carry trade?

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  • Brana, Sophie

    (LARE-efi, Université Montesquieu- Bordeaux IV)

  • Lahet, Delphine

    (LARE-efi, Université Montesquieu- Bordeaux IV)

Abstract

Determinants of Capital Inflows into Asia: What about Carry Trade Strategies? One of the factors explaining the capital inflows in Asia between 2003 and 2007 is the carry trade strategies with the yen as the funding currency. The aim of this article is to evaluate the impact of domestic and international determinants, to compare the pre and post-1997 crisis period, and to test the interest spread as a factor explaining net capital inflows in Thailand and in Asia, among other determinants as global liquidity and some indicators of risk aversion. The econometric tests show that, on the pre-1997 crisis period, internal factors are significant as pull factors. On the recent period, internal factors are no more significant, whereas the interest spread between Asia and Japan becomes significant. So, carry trade strategies with the yen as funding currency seem to be a strong determinant of the capital inflows in Asia since 2003. No other carry trade strategy is significant. Résumé : Le retour massif des capitaux dans les pays asiatiques, de 2003 à 2007, a rappelé la situation d’avant la crise financière de 1997. L’une des explications avancées est l’abondance de la liquidité mondiale ainsi que le niveau élevé des positions de carry trade, notamment avec le yen comme monnaie de financement. Cet article étudie les déterminants des entrées de capitaux en Thaïlande, puis sur un groupe de quatre économies asiatiques, entre 1990 et 2007, en prenant en compte explicitement le comportement des investisseurs internationaux, à travers les stratégies de carry trade et des indicateurs d’appétit pour le risque. Nous montrons que, si, sur la période de précrise de 1997, les entrées de capitaux sont fortement expliquées par l’évolution des fondamentaux des émergents d’Asie, sur la période récente, elles ont été motivées par la recherche de rendements élevés, dans un contexte de surliquidité mondiale. Ainsi, le retour des capitaux en Asie serait bien expliqué par les stratégies de carry trade avec le yen comme monnaie de financement. Les stratégies alternatives de carry trade ne sont pas apparues significatives.

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Article provided by Société Canadienne de Science Economique in its journal L'Actualité Economique.

Volume (Year): 85 (2009)
Issue (Month): 3 (septembre)
Pages: 283-302

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Handle: RePEc:ris:actuec:0019

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  1. 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.
  2. Fatih Ozatay & Erdal Ozmen & Gulbin Sahinbeyoglu, 2008. "Emerging Market Sovereign Spreads, Global Financial Conditions and US Macroeconomic News," Working Papers 400, Economic Research Forum, revised May 2008.
  3. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53.
  4. Coudert, Virginie & Gex, Mathieu, 2008. "Does risk aversion drive financial crises? Testing the predictive power of empirical indicators," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 167-184, March.
  5. Fernandez-Arias, Eduardo & DEC, 1994. "The new wave of private capital inflows : push or pull?," Policy Research Working Paper Series 1312, The World Bank.
  6. Guillermo A. Calvo & Leonardo Leiderman & Carmen M. Reinhart, 1993. "Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 108-151, March.
  7. Kim, Suk-Joong & Wu, Eliza, 2008. "Sovereign credit ratings, capital flows and financial sector development in emerging markets," Emerging Markets Review, Elsevier, vol. 9(1), pages 17-39, March.
  8. Jacob Gyntelberg & Eli M Remolona, 2007. "Risk in carry trades: a look at target currencies in Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, December.
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