Mirdala, Rajmund (2010): Monetary aspects of short-term capital inflows in the Central European Countries. Published in: Journal of Applied Economic Sciences , Vol. 5, No. 4 (December 2010): pp. 342-358.
Download (184kB) | Preview
International capital flows represents one of the key aspect of the globalisation process and refers to the continuous relieving the cross-border capital allocation barriers reflecting in huge increase in the common financial connections among the countries during the last decades. Flows of the capital among the countries stimulated by increased investment opportunities, expected profits and better risk diversification generated many positive, symmetric and multiplicative effects. On the other hand it also increases the exposure of the countries to many negative and asynchronous defects that led economists to revaluate the overall effects of financial liberalization and dynamic increase in the international capital flows. Rigorous assessment of general effects related to short-term capital inflows requires a consideration of a wide variety of country specific assumptions and determinants. Real conditions affecting overall effects of short-term capital inflows have to be also considered in the view of (dis)equilibrium trends in the balance of payments. In the paper we analyze selected monetary aspects of short-term capital inflows in the Central European countries (Czech republic, Hungary, Poland, Slovak republic) in the period 1999-2010 using VAR (vector autoregression) approach. In order to meet this objective we estimate a vector VAR model identified by the Cholesky decomposition of innovations that allows us to identify structural shocks hitting the model. Impulse-response functions are computed in order to estimate the impact of short-term capital inflows on exchange rate, money stock, price level and current account. Ordering of the endogenous variables in the model is also considered allowing us to check the robustness of the empirical results.
|Item Type:||MPRA Paper|
|Original Title:||Monetary aspects of short-term capital inflows in the Central European Countries|
|Keywords:||capital inflows, exchange rate, balance of payments, money stock, VAR, Cholesky decomposition, impulse-response function|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
F - International Economics > F1 - Trade > F15 - Economic Integration
|Depositing User:||Rajmund Mirdala|
|Date Deposited:||27. Dec 2010 11:02|
|Last Modified:||02. Jan 2016 14:05|
BALDWIN, R.E. (2004) Openness and Growth: What’s the Empirical Relationship?, Challenges to Globalization: Analyzing the Economics, ed. by Robert E. Baldwin and L. Alan Winters (Chicago: University of Chicago Press)
BEGG, D. - EICHENGREEN, B. - HALPERN, L. - HAGEN, J. - WYLPOSZ, Ch. (2003) Sustainable Regimes of Capital Movements in Accession Countries, CEPR Policy Paper, No. 10 (London: Centre for Economic Policy Review)
BEKAERT, G. (2005) Does Financial Liberalization Spur Growth?, Journal of Financial Economics, Vol. 77, No. 1 (July), pp. 3–55.
BERTAUT, C. - KOLE, L. (2004) What Makes Investors Overweight or Underweight? Explaining International Appetites for Foreign Equities, Federal Reserve Board Bulletin, No. 90, No. 1 (Winter), p. 19-31
BLANCHARD, O.J. (1984) Current and Anticipated Deficits, Interest Rates and Economic Activity. European Economic Review, vol. 25, pp. 7-27
BLANCHARD, O.J. - GIAVAZZI, F. - SA, F . (2005 International Investors, the U.S. Current Account, and the Dollar. Brookings Papers on Economic Activity 1, pp. 1-49
BRADA, J. C. (2004) Foreign investments and perceptions of vulnerability to foreign exchange crises: Evidence from transition economies. Politická ekonomie, 2004, č. 3, ISSN 0032-3233
BUITER, W. - TACI, A. (2002) Capital Account Liberalization and Financial Sector Development in Transition Countries, Capital Liberalization and Transition Countries: Lessons from the Past and for the Future, ed. by BARKER, A.F.P. and CHAPPLE, B. (Cheltenham: Elgar), pp. 105-41
BUSSIČRE, M. - FRATZSCHER, M. - MULLER, G. J. (2004) Current Account Dynamics in OECD and EU Acceding Countries-An Intertemporal Approach, ECB Working Paper No. 311 (Frankfurt: European Central Bank)
BUSSIERE, M. - FRATZSCHER, M. (2004) Financial Openness and Growth: Short- Run Gain, Long-Run Pain?, ECB Working Paper No. 348 (Frankfurt: European Central Bank).
EDISON, H. - ROSS, L. - LUCA, R. - TORSTEN, S. (2002) International Financial Integration and Economic Growth, Journal of International Monetary and Finance, Vol. 21, No. 6 (November), pp. 749-76.
EDWARDS, S. (2001) Capital Mobility and Economic Performance: Are Emerging Economies Different?, NBER Working Paper No. 8076 (Cambridge, MA: National Bureau of Economic Research).
EICHENGREEN, B.J. (2001) Capital Account Liberalization: What Do Cross-Country Studies Tell Us?, World Bank Economic Review, Vol. 15 (October), pp. 341-65.
FISCHER, S. (1998) Capital Account Liberalization and the Role of the IMF, Should the IMF Pursue Capital-Account Convertibility?, 1998, Essays in International Finance, Department of Economics, Princeton University, Vol. 207, pp. 1-10.
GOLDBERG, L. (2004) Financial-Sector Foreign Direct Investment and Host Countries: New and Old Lessons, NBER Working Paper No. 10441 (Cambridge, Massachusetts: National Bureau of Economic Research).
HASAN, I. - WACHTEL, P. - ZHOU, M. (2006) Institutional Development, Financial Deepening and Economic Growth: Evidence from China. Bank of Finland, Institute for Economies in Transition. BOFIT Discussion Papers No. 12/2006
KOSE, M.A. - PRASAD, E. - ROGOFF, K.S. - WEI, S.-J. (2006) Financial Globalization: A Reappraisal, NBER Working Papers 12484, 2006, National Bureau of Economic Research
KRAAY, A. (1998) In Search of the Macroeconomic Effects of Capital Account Liberalization, 1998, manuscript, World Bank (unpublished)
LANE, P. R. - MILESI-FERRETTI, G. N. (2006) The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004, 2006. In: IMF Working Paper, No. 69, 2006 (Washington: International Monetary Fund)
MISHKIN, F. (2001) Financial Policies and the Prevention of Financial Crises in Emerging Market Countries. [NBER Working Paper, No. 8087.] Cambridge, MA: National Bureau of Economic Research.
OBSTFELD, O. (1998) The Global Capital Market: Benefactor or Menace, In: Journal of Economic Perspectives, 12 (Fall), pp. 9-30.
PILBEAM, K.: International finance. Third Edition, Palgrave Macmillan Press, London, 2006
ROSE, A.K. (2005) One Reason Countries Pay Their Debts: Renegotiation and International Trade, In: Journal of Development Economics, Vol. 77, No. 1 (June), pp. 189-206.
STIGLITZ, J. (2000) Capital Market Liberalization, Economic Growth, and Instability, World Development, Vol. 28, No. 6, pp. 1075-86.
STULZ, R. (2006) Financial Globalization, Corporate Governance and Eastern Europe, NBER Working Paper, No. 11912 (Cambridge, Massachusetts: National Bureau of Economic Research)
STULTZ, R. (1999) International Portfolio Flows and Security Markets. International Capital Flows. [NBER Conference Report Series, pp. 257-293.] Chicago/London: University of Chicago Press