This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows.
We use capital flow data dis-aggregated by direction and type between 1990Q1 and 2015Q5
for 85 countries, and conventional techniques, models and metrics. Since the GFCy is an
unobservable concept, we use two methods to represent it: directly observable variables in
center economies often linked to it, such as the VIX; and indirect manifestations, proxied by
common dynamic factors extracted from actual capital flows. Our evidence seems mostly
inconsistent with a significant and conspicuous GFCy; both methods combined rarely explain
more than a quarter of the variation in capital flows. Succinctly, most variation in capital
flows does not seem to be the result of common shocks nor stem from observables in a
central country like the United States.
Add to Cart by clicking price of the language and format you'd like to purchase
Available Languages and Formats
Prices in red indicate formats that are not yet available but are forthcoming.