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Effects of Us Interest Rate Hike and Global Risk on Daily Capital Flows in Emerging Market Countries

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  • OGAWA, Eiji
  • SHIMIZU, Junko
  • LUO, Pengfei

Abstract

This paper investigates effects of United States (US) interest rate and global risk on daily capital flows in emerging market (EM) countries during an analytical period from 11 November 2015 to 2 October 2018. Country-specific VAR models are used to analyze both determinants of capital flows in EM countries and contagion of capital flows among EM countries. We found that not only pull factors but also such push factors as market participantsʼ expectation of US interest rate and global risk aversion changed capital flows from EM countries. Moreover, we found that contagion of capital flows widely exited among EM countries.

Suggested Citation

  • OGAWA, Eiji & SHIMIZU, Junko & LUO, Pengfei, 2023. "Effects of Us Interest Rate Hike and Global Risk on Daily Capital Flows in Emerging Market Countries," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 57(1), pages 1-31, October.
    • Handle: RePEc:hit:hitjcm:v:57:y:2023:i:1:p:1-31
    DOI: 10.15057/hjcm.2023001
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    Cited by:

    1. OGAWA Eiji & LUO Pengfei, 2024. "Global Risk Factors and Their Impacts on Interest Rates and Exchange Rates: Evidence from ASEAN+4 economies," Discussion papers 24006, Research Institute of Economy, Trade and Industry (RIETI).
    2. Eiji Ogawa & Pengfei Luo, 2024. "Macroeconomic effects of global policy and financial risks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 177-205, January.

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    More about this item

    Keywords

    daily capital flows; emerging market countries; US interest rate hike; global risk; contagion effect;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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