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Global Fund Flows and Emerging Market Tail Risk

Author

Listed:
  • Chari, Anusha
  • Dilts Stedman, Karlye
  • Lundblad, Christian

Abstract

Global risk and risk aversion shocks have distinct distributional impacts on emerging market capital flows and returns. In particular, we find salient consequences of these different global shocks for tail risk in emerging markets. Open-end mutual fund trading provides a key mechanism linking shocks facing global investors to extreme capital flow and return realizations. The effects are heterogeneous across asset classes and fund types. The limited discretion and higher conformity of passive fund investments linked to benchmarking amplify pass-through effects that engender abnormal co-movements in emerging market flows and returns.

Suggested Citation

  • Chari, Anusha & Dilts Stedman, Karlye & Lundblad, Christian, 2022. "Global Fund Flows and Emerging Market Tail Risk," CEPR Discussion Papers 17697, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:17697
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    Cited by:

    1. Linda S. Goldberg, 2022. "Global Liquidity: Drivers, Volatility and Toolkits," Speech 95155, Federal Reserve Bank of New York.

    More about this item

    Keywords

    Non-bank financial intermediation; Tail risk; Mutual funds; Exchange traded funds; Emerging markets;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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