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Global Risk Appetite,US Economic Policy Uncertainties and Cross-Border Capital Flow
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作者 Tan Xiaofen Cao Qianqian Zhao Qian 《China Economist》 2022年第5期2-18,共17页
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
关键词 Cross-border fund capital flow global risk appetite us economic policy uncertainty panel threshold model
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