Role of Risk and Information for International Capital Flows : New Evidence from the SDDS.

By: Hashimoto, YukoContributor(s): Wacker, KonstantinMaterial type: TextTextSeries: IMF Working PapersPublisher: Washington DC : International Monetary Fund, 2012Copyright date: ©2012Description: 1 online resource (45 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9781475512625Subject(s): Capital movementsGenre/Form: Electronic books.Additional physical formats: Print version:: Role of Risk and Information for International Capital Flows : New Evidence from the SDDSLOC classification: HG3891.H37 2012Online resources: Click to View
Contents:
Cover -- Contents -- I. Introduction -- II. Information and Investment: A Literature Review -- III. Investment: Model and Data -- A. Portfolio and foreign direct investment -- B. Econometric model -- C. Determinants of international investment flows -- D. Risk -- E. Information -- F. Spatial interdependencies -- IV. Main Empirical Results -- V. Robustness and Further Results -- VI. Discussion and Conclusion -- A. Main findings -- B. Relation to other findings in the literature -- C. Further results -- D. Perspectives on further research and policy issues -- Appendices -- A. Information on SDDS -- B. Sample, variables and descriptive statistics -- References -- Tables -- 1. FDI determinants -- 2. Portfolio determinants -- 3. Different time trends between SDDS subscribers and non-subscribers? -- 4. Parameter robustness -- 5. List of SDDS subscribers -- 6. SDDS Data Coverage -- 7. List of Variables -- Figures -- 1. Capital Flows (% of GDP) prior to and after SDDS Subscription -- 2. Plots for normality of residuals from model (3a) -- 3. Kernel density estimate for residuals from model (3a) with corresponding normal distribution -- 4. Dynamic effects of SDDS subscription -- 5. Smoothing spline estimate of spatial correlation in FDI .ow residuals with 90 percent pointwise con.dence bands based on 1,000 bootstrap replications.
Summary: In this paper we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance with the IMF's Special Data Dissemination Standard (SDDS). For FDI, we find statistically significant and robust support for this hypothesis: SDDS subscription increased inflows by an economically relevant magnitude of about 60 percent. We also find evidence of aversion against political and macroeconomic risk as determinants of portfolio and FDI flows anduse a non-parametric test for spatial correlation in the residual of capital flows.
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Cover -- Contents -- I. Introduction -- II. Information and Investment: A Literature Review -- III. Investment: Model and Data -- A. Portfolio and foreign direct investment -- B. Econometric model -- C. Determinants of international investment flows -- D. Risk -- E. Information -- F. Spatial interdependencies -- IV. Main Empirical Results -- V. Robustness and Further Results -- VI. Discussion and Conclusion -- A. Main findings -- B. Relation to other findings in the literature -- C. Further results -- D. Perspectives on further research and policy issues -- Appendices -- A. Information on SDDS -- B. Sample, variables and descriptive statistics -- References -- Tables -- 1. FDI determinants -- 2. Portfolio determinants -- 3. Different time trends between SDDS subscribers and non-subscribers? -- 4. Parameter robustness -- 5. List of SDDS subscribers -- 6. SDDS Data Coverage -- 7. List of Variables -- Figures -- 1. Capital Flows (% of GDP) prior to and after SDDS Subscription -- 2. Plots for normality of residuals from model (3a) -- 3. Kernel density estimate for residuals from model (3a) with corresponding normal distribution -- 4. Dynamic effects of SDDS subscription -- 5. Smoothing spline estimate of spatial correlation in FDI .ow residuals with 90 percent pointwise con.dence bands based on 1,000 bootstrap replications.

In this paper we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance with the IMF's Special Data Dissemination Standard (SDDS). For FDI, we find statistically significant and robust support for this hypothesis: SDDS subscription increased inflows by an economically relevant magnitude of about 60 percent. We also find evidence of aversion against political and macroeconomic risk as determinants of portfolio and FDI flows anduse a non-parametric test for spatial correlation in the residual of capital flows.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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