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The Role of Risk and Information for International Capital Flows: New Evidence from the SDDS

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  • Ms. Yuko Hashimoto
  • Mr. Konstantin Wacker

Abstract

In this paper we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance with the IMF's Special Data Dissemination Standard (SDDS). For FDI, we find statistically significant and robust support for this hypothesis: SDDS subscription increased inflows by an economically relevant magnitude of about 60 percent. We also find evidence of aversion against political and macroeconomic risk as determinants of portfolio and FDI flows anduse a non-parametric test for spatial correlation in the residual of capital flows.

Suggested Citation

  • Ms. Yuko Hashimoto & Mr. Konstantin Wacker, 2012. "The Role of Risk and Information for International Capital Flows: New Evidence from the SDDS," IMF Working Papers 2012/242, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2012/242
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    Cited by:

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    6. Robert Heath, 2013. "Why Are The G-20 Data Gaps Initiative And The Sdds Plus Relevant For Financial Stability Analysis?," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 4(03), pages 1-24.
    7. Wacker, Konstantin M., 2013. "On the measurement of foreign direct investment and its relationship to activities of multinational corporations," Working Paper Series 1614, European Central Bank.
    8. Krishna Chaitanya Vadlamannati & Arusha Cooray & Samuel Brazys, 2018. "Nothing to hide: Commitment to, compliance with, and impact of the special data dissemination standard," Economics and Politics, Wiley Blackwell, vol. 30(1), pages 55-77, March.
    9. Krishna Chaitanya Vadlamannati & Arusha Cooray, 2015. "Do transparency initiatives work? Assessing the impact of the Special Data Dissemination Standard (SDDS) on data transparency," CAMA Working Papers 2015-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    10. Choi, Sangyup & Hashimoto, Yuko, 2018. "Does transparency pay? Evidence from IMF data transparency policy reforms and emerging market sovereign bond spreads," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 171-190.
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    More about this item

    Keywords

    WP; FDI inflow; interest rate; emerging market; FDI flow; determinants of capital flows; information; panel data; risk; SDDS; IMF; FDI; portfolio investment; spatial econometrics; FDI-agglomeration literature; FDI literature; SDDS subscription; portfolio flow; Foreign direct investment; Special Data Dissemination Standard (SDDS); Capital flows; Exchange rates; Global;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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