UID:
edoccha_9959232462902883
Format:
1 online resource (33 pages)
ISBN:
1-4843-0132-3
,
1-4843-0134-X
Series Statement:
IMF Working Papers
Content:
It has been well-established in the literature that portfolio inflows appreciate the real effective exchange rate. However, the literature lacks a systematic empirical analysis of the impact of portfolio inflows by institutional sector or borrower type. This paper fills this gap by exploring the impact of the inflows of portfolio capital into three institutional sectors (government, banks and corporates) on the real effective exchange rate. Using a large sample of 73 countries, it shows that the effect of portfolio inflows on the real effective exchange rate depends on the sector the investment flows in. The findings are robust to different econometric methods, additional variables in the model, and various indicators of real effective exchange rates.
Note:
Cover -- Contents -- Abstract -- I. Introduction -- II. Brief Review of Literature and the Sectorization of Portfolio Inflows -- A. Brief Review of Literature -- B. Why the Sectorization Matters? -- Government -- Banks -- Corporates -- III. Data, Stylized Facts and Methodology -- A. Data -- B. Stylized facts -- C. Methodology -- IV. Results -- V. Robustness Checks -- A. Additional Variables -- B. Using De-trended REER Series -- C. Alternative Econometric Method -- D. Alternative Trade Coverage: Separating Imports and Exports -- VI. Conclusion -- Table -- Table 1: Baseline Results -- Table 2: Baseline Results, by Income Groups -- Table 3: Disaggregation by Instruments and Institutional Sectors -- Table 4: Robustness Check: Additional Variables -- Table 5: Robustness Check: De-trending REER Series -- Table 6: Robustness Check: Alternative Econometric Method -- Table 7: Robustness Check: Alternative Trade Coverage: Separating Imports and Exports -- Table A 1. Sample -- Table A 2. Summary Statistics -- Table A 3. Results for First Stage Estimates -- Figure -- Figure 1: Portfolio Inflows and Real Exchange Rate -- Figure 2: Share of Portfolio Inflows by Sector and in Percentage of GDP -- Figure 3: Economic and Equity-Market Uncertainty in the USA and Portfolio Inflows in the Rest of the World.
Additional Edition:
ISBN 1-4843-0113-7
Language:
English
