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Long- and short-run determinants of capital flows to Latin America: a long-run structural GVAR model

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  • Melisso Boschi

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Abstract

This article documents the determinants of capital flows to Argentina, Brazil and Mexico, assessing the relative importance of domestic and international factors through the estimation of a long-run structural Global VAR model of the world economy. The results show that in the long-run international factors prevail on domestic factors as determinants of the equilibrium behaviour of Net Foreign Assets (NFA) and also provide overwhelming evidence that domestic shocks are predominantly responsible for their short-run dynamics. Although all previous studies focus on the US economic influence, one striking result of this article is that the US variables are by no means the main external factors affecting Latin American NFA. Copyright Springer-Verlag 2012

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 43 (2012)
Issue (Month): 3 (December)
Pages: 1041-1071

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Handle: RePEc:spr:empeco:v:43:y:2012:i:3:p:1041-1071

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Keywords: Net foreign assets; Capital flows; Real exchange rate; Latin America; Emerging markets; VECM; Global VAR; F21; F32; C32; C50;

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Citations

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Cited by:
  1. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Fiscal Spillovers in the Euro Area," Discussion Papers of DIW Berlin 1164, DIW Berlin, German Institute for Economic Research.
  2. Boschi, Melisso & Girardi, Alessandro, 2011. "The contribution of domestic, regional and international factors to Latin America's business cycle," Economic Modelling, Elsevier, vol. 28(3), pages 1235-1246, May.
  3. Guglielmo Maria Caporale & Alessandro Girardi, 2012. "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," Discussion Papers of DIW Berlin 1254, DIW Berlin, German Institute for Economic Research.
  4. Melisso Boschi & Massimiliano Marzo & Simone Salotti, 2013. "Domestic Versus International Determinants Of European Business Cycles: A GVAR Approach," CAMA Working Papers 2013-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

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