Monetary aspects of short-term capital inflows in the Central European Countries
AbstractInternational capital flows represents one of the key aspect of the globalisation process and refers to the continuous relieving the cross-border capital allocation barriers reflecting in huge increase in the common financial connections among the countries during the last decades. Flows of the capital among the countries stimulated by increased investment opportunities, expected profits and better risk diversification generated many positive, symmetric and multiplicative effects. On the other hand it also increases the exposure of the countries to many negative and asynchronous defects that led economists to revaluate the overall effects of financial liberalization and dynamic increase in the international capital flows. Rigorous assessment of general effects related to short-term capital inflows requires a consideration of a wide variety of country specific assumptions and determinants. Real conditions affecting overall effects of short-term capital inflows have to be also considered in the view of (dis)equilibrium trends in the balance of payments. In the paper we analyze selected monetary aspects of short-term capital inflows in the Central European countries (Czech republic, Hungary, Poland, Slovak republic) in the period 1999-2010 using VAR (vector autoregression) approach. In order to meet this objective we estimate a vector VAR model identified by the Cholesky decomposition of innovations that allows us to identify structural shocks hitting the model. Impulse-response functions are computed in order to estimate the impact of short-term capital inflows on exchange rate, money stock, price level and current account. Ordering of the endogenous variables in the model is also considered allowing us to check the robustness of the empirical results.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27649.
Date of creation: Nov 2010
Date of revision:
Publication status: Published in Journal of Applied Economic Sciences 4.5(2010): pp. 342-358
capital inflows; exchange rate; balance of payments; money stock; VAR; Cholesky decomposition; impulse-response function;
Other versions of this item:
- Rajmund MIRDALA, 2010. "Monetary Aspects Of Short-Term Capital Inflows In The Central European Countries," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(4(14)/ Wi), pages 342-358.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F15 - International Economics - - Trade - - - Economic Integration
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-03 (All new papers)
- NEP-MON-2011-01-03 (Monetary Economics)
- NEP-OPM-2011-01-03 (Open Economy Macroeconomic)
- NEP-TRA-2011-01-03 (Transition Economics)
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