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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: capital flow volatility, BRICS, GMM panel regression, FDI, portfolio
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; F - International Economics > F3 - International Finance > F32 - Current Account Adjustment ; Short-Term Capital Movements; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy Macroeconomics

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