Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capita...Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.展开更多
Since the end of 2015,the US Federal Reserve has raised its benchmark interest rate nine times.This has led to capital outflows and asset depreciation in many emerging market economies.The present paper examines the f...Since the end of 2015,the US Federal Reserve has raised its benchmark interest rate nine times.This has led to capital outflows and asset depreciation in many emerging market economies.The present paper examines the factors that determine the financial volatility of emerging markets in the face of external shocks.By calculating the capital flows of 30 emerging markets from 1990 to 2018 and conducting panel regression,this paper finds that countries with good infrastructure facilities,a sound banking system and high economic growth have significantly lower cross-border financial risks.An implication from the empirical analysis is that emerging countries would benefit greatly by actively taking part in the Belt and Road Initiative.The framework of the Belt and Road Initiative allows emerging countries better access to China s massive consumer market to promote trade and long-term growth.Their quality of infrastructure can be improved through cooperation with China in infrastructure investment.They can also jointly establish a cooperative financial framework to enhance regional financial stability.These strategies will reduce systematic financial risks and counteract the negative impacts of US interest rate hikes.展开更多
基金sponsored by the Natural Science Foundation of China(NSFC)2018 Emergency Management Project“Exchange Rate Market Variation,Cross-Border Capital Flow and Financial Risk Prevention”(Grant No.71850005)the NSFC Youth Program“Dynamic Estimation of Foreign Exchange Market Pressure in the Process of Capital Account Opening and Evaluation of the Central Bank’s Intervention Policy Effects”(Grant No.71803204).
文摘Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.
基金the Interdisciplinary Research Project of Beijing Normal University(No.B10.1)the Fundamental Research Funds for the Central Universities(2017)the China Postdoctoral Science Foundation(No.2017M610052).
文摘Since the end of 2015,the US Federal Reserve has raised its benchmark interest rate nine times.This has led to capital outflows and asset depreciation in many emerging market economies.The present paper examines the factors that determine the financial volatility of emerging markets in the face of external shocks.By calculating the capital flows of 30 emerging markets from 1990 to 2018 and conducting panel regression,this paper finds that countries with good infrastructure facilities,a sound banking system and high economic growth have significantly lower cross-border financial risks.An implication from the empirical analysis is that emerging countries would benefit greatly by actively taking part in the Belt and Road Initiative.The framework of the Belt and Road Initiative allows emerging countries better access to China s massive consumer market to promote trade and long-term growth.Their quality of infrastructure can be improved through cooperation with China in infrastructure investment.They can also jointly establish a cooperative financial framework to enhance regional financial stability.These strategies will reduce systematic financial risks and counteract the negative impacts of US interest rate hikes.
