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OGAWA Eiji
Department Tokyo Keizai University , Economics Position Professor |
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| Language | English |
| Publication Date | 2023/10/01 |
| Type | Research paper (bulletin of university, research institution) |
| Title | Effects of US Interest Rate Hikes and Global Risk on Daily Capital Flows in Emerging Market Countries |
| Contribution Type | Joint author |
| Journal | Hitotsubashi University of Commerce and Management |
| Journal Type | Japan |
| Volume, Issue, Page | 57(1),pp.1-31 |
| Authorship | Lead author |
| Author and coauthor | Eiji Ogawa, Junko Shimizu, and Pengfei Luo |
| Details | 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. |