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How Persistent are International Capital Flows?

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Author Info
Galstyan, Vahagn
Abstract

This paper documents the dynamic properties of the current account, trade balance and international capital flows. For this purpose, two approaches are taken: probit and a nonparametric estimation. The probabilistic approach shows that, in general, deficits and net inflows tend to be more persistent than surpluses and net outflows. This result is robust to either specification of pooled and country-specific probits. The results of non-parametric estimation are in line with the results obtained from the probit. --

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Paper provided by Kiel Institute for the World Economy in its series Economics Discussion Papers with number 2009-13.

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Date of creation: 2009
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Handle: RePEc:zbw:ifwedp:7492

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Related research
Keywords: Capital flows; persistence;

Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
F00 - International Economics - - General - - - General

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References listed on IDEAS
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  1. Sebastian Edwards, 2004. "Thirty Years of Current Account Imbalances, Current Account Reversals and Sudden Stops," NBER Working Papers 10276, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Richard H. Clarida & Manuela Goretti & Mark P. Taylor, 2006. "Are There Thresholds of Current Account Adjustment in the G7?," NBER Working Papers 12193, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Daniel Dias & Carlos Robalo Marques, 2005. "Using mean reversion as a measure of persistence," Working Paper Series 450, European Central Bank. [Downloadable!]
  4. Jean Imbs & Haroon Mumtaz & Morten Ravn & Hélène Rey, 2005. "PPP Strikes Back: Aggregation and the Real Exchange Rate," The Quarterly Journal of Economics, MIT Press, vol. 120(1), pages 1-43, January.
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  5. Carro, Jesus M., 2007. "Estimating dynamic panel data discrete choice models with fixed effects," Journal of Econometrics, Elsevier, vol. 140(2), pages 503-528, October. [Downloadable!] (restricted)
  6. James J. Heckman, 1981. "Heterogeneity and State Dependence," NBER Chapters, in: Studies in Labor Markets, pages 91-140 National Bureau of Economic Research, Inc. [Downloadable!]
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