Munich Personal RePEc Archive

Determinants of global capital volatility in the BRICS grouping

Melis, Michael and Bonga-Bonga, Lumengo (2019): Determinants of global capital volatility in the BRICS grouping.

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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.

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