Uncertainty and International Capital Flows
Uncertainty and International Capital Flows
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不确定性和国际资本流动
DOI：
10.2139/ssrn.2626635
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发表时间：
2015
期刊：
影响因子：
--
通讯作者：
Adrien Verdelhan
中科院分区：
文献类型：
--
作者：
François Gourio;Michael Siemer;Adrien Verdelhan
过去40年，在一个由26个新兴国家组成的大型专家小组中，我们衡量不确定性的指标--股市总回报波动性--预测了资本流动。当股市收益波动性增加时，资本流入减少，资本流出增加。我们建议将每个国家的市场回报波动率简单地分解为两个组成部分：各国不同的系统性波动率敞口，以其不确定性贝塔来衡量，以及各国特定的波动率。资本流入对波动性的系统性冲击和国别冲击都有反应，而在不确定性较高的贝塔系数较高的国家，资本流入的反应更大。这些结果在统计学上都具有重要意义。一个简单的投资组合选择模型说明了不确定性对总资本流动的影响：在该模型中，外国人面临被征用的风险。当被征用的概率增加时，外国人将国内资产出售给国内投资者，导致反周期的本土偏向。
In a large panel of 26 emerging countries over the last 40 years, aggregate stock market return volatilities, our measure of uncertainty, forecast capital flows. When the stock market return volatility increases, capital inflows decrease and capital outflows increase. We propose a simple decomposition of each country's market return volatility into two components: countries differ by their exposure to systematic volatility, measured by their uncertainty betas, and by their country-specific volatility. Capital inflows respond to both systematic and country-specific shocks to volatility, and they respond more in high uncertainty beta countries. These results are all statistically significant. A simple portfolio choice model illustrates the impact of uncertainty on gross capital flows: in the model, foreigners are exposed to expropriation risk. When the probability of expropriation increases, foreigners sell the domestic assets to the domestic investors, leading to a counter-cyclical home bias.
DOI：
10.2139/ssrn.2364086
发表时间：
2014-01
期刊：
International Trade eJournal
影响因子：
--
作者：
X. Gabaix;Matteo Maggiori;Ariel Burstein;J. Campbell;Nicolas Coeurdacier;Alessandro Dovis;Bernard Dumas;E. Farhi;Luca Fornaro;Kenneth A. Froot;Nicolae Gârleanu;G. Gopinath;Pierre-Olivier Gourinchas;Oleg Itskhoki;Andrew Karolyi;N. Kiyotaki;Anton Korinek;A. Krishnamurthy;G. Lorenzoni;Brent Neiman;M. Obstfeld;Stavros Panageas;Anna Pavlova;F. Perri;Helen Rey;Ken Rogoff;Lucio Sarno;Hyun Song Shin;A. Shleifer;Jeremy Stein;Adrien Verdelhan
通讯作者：
X. Gabaix;Matteo Maggiori;Ariel Burstein;J. Campbell;Nicolas Coeurdacier;Alessandro Dovis;Bernard Dumas;E. Farhi;Luca Fornaro;Kenneth A. Froot;Nicolae Gârleanu;G. Gopinath;Pierre-Olivier Gourinchas;Oleg Itskhoki;Andrew Karolyi;N. Kiyotaki;Anton Korinek;A. Krishnamurthy;G. Lorenzoni;Brent Neiman;M. Obstfeld;Stavros Panageas;Anna Pavlova;F. Perri;Helen Rey;Ken Rogoff;Lucio Sarno;Hyun Song Shin;A. Shleifer;Jeremy Stein;Adrien Verdelhan