Modeling the Demand for Emerging Market Assets
This paper addresses the problem of estimating the aggregate international demand schedule for emerging market (EM) securities as an asset class. The standard â€˜push-pullâ€™ model of capital flows is modified by reference to recent work on portfolio choice in the context of credit rationing leading to a simultaneous equation model that determines EM yield and capital flows together. Interaction effects include lagged flows and yields to reflect herding and asset bubbles, with a time-varying risk aversion variable affecting yields and flows. This model is then tested on monthly data for US bond purchases, using the General-to-Specific Approach (GETS) to find significant variables, lags, and shock dummies for yield spread and bond flows separately; followed by a Full Information Maximum Likelihood (FIML) estimation of the two equations together. The results are robust and give a very good fit for both yields and flows, contributing a valuable insight into the dominant impact of short-term shifts in the demand schedule on emerging markets.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||01 Apr 2003|
|Date of revision:|
|Contact details of provider:|| Postal: Manor Rd. Building, Oxford, OX1 3UQ|
Web page: http://www.economics.ox.ac.uk/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:oxf:wpaper:2003-fe-10. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Monica Birds)
If references are entirely missing, you can add them using this form.