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Modelling Portfolio Capital Flows in a Global Framework: Multilateral Implications of Capital Controls

Author

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  • Taylor, Mark
  • Boero, Gianna
  • Mandalinci, Zeyyad

Abstract

In the aftermath of the global financial crisis, many emerging market countries resorted to capital controls to tackle the excessive surge of capital inflows. A number of recent research papers have suggested that the imposition of controls may have imposed negative externalities on other countries by deflecting flows. Our aim in the research reported in this paper is to construct a comprehensive global econometric model which captures the dynamic interactions of capital flows with domestic and global fundamentals, and to assess the efficacy of capital controls and potential deflection eff ects on other countries. The results suggest that capital controls are e ffective for some countries in the short run, but have no lasting e ffects. Moreover, there is only limited evidence of deflection eff ects for a small number of emerging market countries.

Suggested Citation

  • Taylor, Mark & Boero, Gianna & Mandalinci, Zeyyad, 2016. "Modelling Portfolio Capital Flows in a Global Framework: Multilateral Implications of Capital Controls," CEPR Discussion Papers 11689, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:11689
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    More about this item

    Keywords

    Portfolio capital flows; Global var (gvar); Capital controls; Emerging markets;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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