Do Contagion Effects Exist in Capital Flow Volatility
Lee, Hyun-Hoon; Park, Cyn-Young; Byun, Hyung-suk | September 2012
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. "
Citation
Lee, Hyun-Hoon; Park, Cyn-Young; Byun, Hyung-suk. 2012. Do Contagion Effects Exist in Capital Flow Volatility. © Asian Development Bank. http://hdl.handle.net/11540/1605.ISSN
1655-5252
Keywords
Financial Stability
Financial Management System
Financial Restructuring
Capital Market Development
Erosion
Market Development
Economics
Erosion
International Economics
International Financial Market
Multilateral Financial Institutions
Economic Recession
Market
Crisis
Business recessions
Multilateral development banks
Regulatory reform
Capital
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Citable URI
http://hdl.handle.net/11540/1605Metadata
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