scholarly journals How Important is the Global Financial Cycle? Evidence from Capital Flows

2017 ◽  
Author(s):  
Eugenio Cerutti ◽  
Stijn Claessens ◽  
Andrew Kenan Rose
Keyword(s):  
Capital Flows ◽  
Financial Cycle

scholarly journals Spillover Effect of Global Financial Cycle To Asset Markets in Asean-5 Countries: A Structural VAR Approach

2018 ◽  
Vol 2 (02) ◽  
pp. 1
Author(s):  
Sri Andaiyani ◽  
Telisa Aulia Falianty
Keyword(s):  
Risk Aversion ◽  
Capital Flows ◽  
Asset Prices ◽  
Emerging Market ◽  
Structural Var ◽  
Asset Markets ◽  
Equity Prices ◽  
Financial Cycle ◽  
Property Prices ◽  
The Impact

<p><em>An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging market. It provides an overview of investor risk aversion in short term investment after financial crisis 2008. Global financial cycle could have a significant impact to asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co</em><em>‐</em><em>moves with the VIX, a measure of uncertainty and risk aversion of the markets. Therefore, this study attempts to analyze empirically global financial cycle shocks, measured by the VIX, on equity prices and property prices in ASEAN-5, namely Indonesia, Malaysia, Singapore, Thailand and Philippines. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Structural Vector Autoregressive (SVAR) approach. The result of this study showed that global financial cycle has a negative significant impact on the ASEAN-5 asset markets, in spite of the response of shock differs by country and size. This result is consistent with ASEAN-5 as small open economies that remain vulnerable to the global factor. This study contributes to the literature in several ways. First, we identify not only cyclical expansions or contraction in asset markets but also the impact of global financial cycle to asset markets in ASEAN-5 countries. Second, we investigate whether there are heterogeneous responses of ASEAN-5 countries to global financial cycle shocks. Third, we also identify the pattern of cycle in ASEAN-5 countries</em>.</p><p><strong><em>J</em></strong><strong><em>EL Classification: </em></strong>F30, F37, F42</p><strong><em>Keywords: </em></strong><em>ASEAN, Asset Markets, Global Financial Cycle, SVAR</em>

scholarly journals How Important is the Global Financial Cycle? Evidence from Capital Flows

2017 ◽  
Author(s):  
Eugenio Cerutti ◽  
Stijn Claessens ◽  
Andrew Rose
Keyword(s):  
Capital Flows ◽  
Financial Cycle

Gross Private Capital Flows to Emerging Markets: Can the Global Financial Cycle Be Tamed?

2014 ◽  
Vol 14 (196) ◽  
pp. 1 ◽  
Author(s):  
Erlend Nier ◽  
Tahsin Saadi Sedik ◽  
Tomas Mondino ◽  
◽  
◽  
...  
Keyword(s):  
Emerging Markets ◽  
Capital Flows ◽  
Private Capital ◽  
Financial Cycle ◽  
Private Capital Flows

scholarly journals ASEAN CREDIT GROWTH AND ASSET PRICE RESPONSE TO GLOBAL FINANCIAL CYCLE

2017 ◽  
Vol 20 (2) ◽  
pp. 203-228
Author(s):  
Sri Andaiyani ◽  
Telisa Aulia Falianty
Keyword(s):  
Risk Aversion ◽  
Capital Flows ◽  
Asset Prices ◽  
Emerging Market ◽  
Asset Markets ◽  
Credit Growth ◽  
Equity Prices ◽  
Financial Cycle ◽  
Property Prices ◽  
The Impact

An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging market. It provides an overview of investor risk aversion in short term investment after financial crisis 2008. Global financial cycle could have a significant impact not only to credit growth but also asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co-moves with the VIX, a measure of uncertainty and risk aversion of the markets. Therefore, this study attempts to analyze empirically global financial cycle shocks, measured by the VIX, on credit, equity prices and property prices in ASEAN-4, namely Indonesia, Malaysia, Singapore, and Thailand. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Panel Vector Autoregressive (PVAR) approach. The result of this study showed that the response of asset markets and credit to global financial cycle shocks is negative. This result is consistent with ASEAN-4 as small open economies that remain vulnerable to the global factor. This study contributes to the literature in several ways. First, we identify not only cyclical expansions orcontraction in asset markets but also the impact of global financial cycle to credit growth and asset markets in ASEAN-4 countries. Second, we also identify the pattern of cycle in ASEAN-4 countries. Third, we used PVAR approach that can capture heterogeneity.

scholarly journals How Important is the Global Financial Cycle? Evidence from Capital Flows

2019 ◽  
Vol 67 (1) ◽  
pp. 24-60 ◽  
Author(s):  
Eugenio Cerutti ◽  
Stijn Claessens ◽  
Andrew K. Rose
Keyword(s):  
Capital Flows ◽  
Financial Cycle

scholarly journals How Important is the Global Financial Cycle? Evidence from Capital Flows

2017 ◽  
Vol 17 (193) ◽  
pp. 1 ◽  
Author(s):  
Eugenio Cerutti ◽  
Stijn Claessens ◽  
Andrew Rose ◽  
◽  
◽  
...  
Keyword(s):  
Capital Flows ◽  
Financial Cycle

scholarly journals The Missing “Cycle” Part and Other Thoughts on the Global Financial Cycle

2020 ◽  
pp. 15-32
Author(s):  
Olga Bondarenko
Keyword(s):  
Capital Flows ◽  
Factor Model ◽  
Common Factor ◽  
Primary Role ◽  
Trade Off ◽  
Financial Cycle ◽  
Domestic Policies ◽  
Quantitative Importance ◽  
Macroeconomic Stability

The paper studies co-movement in capital flows, which gives rise to a phenomenon dubbed the global financial cycle. It first estimates a global common factor in capital flows using a factor model and draws inferences of its quantitative importance. Then the paper studies the cyclical properties of the extracted factor and concludes that, in general, its importance for capital flows is relatively limited. This may suggest that the Mundell-Fleming trilemma (as opposed to dilemma) still describes the trade-off faced by policymakers, and domestic policies play the primary role in maintaining macroeconomic stability.

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