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オガワ エイジ
OGAWA Eiji
小川 英治 所属 東京経済大学 経済学部 職種 教授 |
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| 言語種別 | 英語 |
| 発行・発表の年月 | 2023/10/01 |
| 形態種別 | 研究論文（大学，研究機関等紀要） |
| 標題 | Effects of US Interest Rate Hikes and Global Risk on Daily Capital Flows in Emerging Market Countries |
| 執筆形態 | 共著 |
| 掲載誌名 | Hitotsubashi University of Commerce and Management |
| 掲載区分 | 国内 |
| 巻・号・頁 | 57(1),pp.1-31 |
| 担当区分 | 筆頭著者 |
| 著者・共著者 | Eiji Ogawa, Junko Shimizu, and Pengfei Luo |
| 概要 | This paper investigates effects of United States (US) interest rate and global risk on daily capital flows in emerging market (EM) countries during an analytical period from 11 November 2015 to 2 October 2018. Country-specific VAR models are used to analyze both determinants of capital flows in EM countries and
contagion of capital flows among EM countries. We found that not only pull factors but also such push factors as market participantsʼ expectation of US interest rate and global risk aversion changed capital flows from EM countries. Moreover, we found that contagion of capital flows widely exited among EM countries. |