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Determinants of global capital volatility in the BRICS grouping

Author

Listed:
  • Melis, Michael
  • Bonga-Bonga, Lumengo

Abstract

This paper assesses the determinants of capital flow volatility in the BRICS economies by differentiating between foreign direct investment (FDI) and portfolio capital flow volatilities. Moreover, the paper distinguishes between external variables, policy variables and control variables among the important drivers of capital flow volatiltiy in these economies. Use is made of the general method of moment (GMM) estimation in panel regression for this end. The findings of the empirical analysis show, among other things, the importance of global volatility spillover in driving capital flow volatility in the BRICS countries.

Suggested Citation

  • Melis, Michael & Bonga-Bonga, Lumengo, 2019. "Determinants of global capital volatility in the BRICS grouping," MPRA Paper 94125, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:94125
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    References listed on IDEAS

    as
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    3. Lee, Hyun-Hoon & Park, Cyn-Young & Byun, Hyung-suk, 2013. "Do contagion effects exist in capital flow volatility?," Journal of the Japanese and International Economies, Elsevier, vol. 30(C), pages 76-95.
    4. Pagliari, Maria Sole & Ahmed Hannan, Swarnali, 2024. "The volatility of capital flows in emerging markets: Measures and determinants," Journal of International Money and Finance, Elsevier, vol. 145(C).
    5. Scott W. Hegerty, 2014. "Do International Capital Flows Worsen Macroeconomic Volatility in Transition Economies?," Bulletin of Applied Economics, Risk Market Journals, vol. 1(1), pages 1-13.
    6. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
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    Keywords

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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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