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Do Contagion Effects Exist in Capital Flow Volatility?

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  • Lee, Hyun-Hoon

    (Kangwon National University)

  • Park, Cyn-Young

    (Asian Development Bank)

  • Byun, Hyung-suk

    (Kangwon National University)

Abstract

The paper aims to assess what influences volatility of capital flows to emerging countries and whether or not there is a spillover or contagion effect in the volatility. The empirical results suggest strong and significant contagion effects from global and regional volatilities on the volatility of capital flows in different types to individual economies. The evidence of contagion from global and regional volatilities implies that there is a strong need for global and regional policy cooperation to contain the spillover or contagion effects. However, other policy variables have a differential and time-varying effect on volatility of different types of capital inflow, presenting policy dilemma and challenge to producing coordinated efforts by global and regional policy makers.

Suggested Citation

  • Lee, Hyun-Hoon & Park, Cyn-Young & Byun, Hyung-suk, 2012. "Do Contagion Effects Exist in Capital Flow Volatility?," ADB Economics Working Paper Series 302, Asian Development Bank.
  • Handle: RePEc:ris:adbewp:0302
    Note: http://www.adb.org/sites/default/files/pub/2012/economics-wp302.pdf
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    References listed on IDEAS

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    1. repec:eee:finana:v:54:y:2017:i:c:p:1-22 is not listed on IDEAS
    2. repec:eee:riibaf:v:42:y:2017:i:c:p:312-320 is not listed on IDEAS

    More about this item

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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