2014年-世界发展银行全球_Ride_the_Wild_Surf___An_Investigation_of_the_Drivers_of_Surges_in_Capital_Inflows_47页_1mb

Ride the Wild Surf: An Investigation of the Drivers of Surges in Capital Inflows

Core Content

This paper investigates the drivers of surges in gross capital inflows to 67 countries over the period 1975–2010, focusing on domestic and external factors. It analyzes how these surges affect financial stability and economic growth, and it emphasizes the importance of understanding both pull and push factors in explaining the dynamics of capital flows.

Main Findings

• Gross capital inflows have experienced significant fluctuations over the past 15 years, with a sharp rise before the 2008–09 financial crisis and a subsequent recovery, especially in developing countries.
• Domestic and external factors both play a role in driving surges in capital inflows, but domestic factors are more influential in developing countries, while external factors are more significant in industrial countries.
• Financial booms are a key driver of capital inflows, especially in developing countries.
• Regional contagion also contributes to the occurrence of capital inflow surges.
• Strong economic growth and natural resource abundance attract foreign capital, particularly in developing countries.
• Debt-led inflows are more likely to drive surges in gross capital flows, which are associated with financial instability, while equity inflows are more correlated with real sector developments.

Key Drivers of Capital Inflow Surges

Pull Factors

• Domestic economic growth increases the likelihood of capital inflow surges.
• Current account deficits are associated with higher inflows.
• Exchange rate regime flexibility reduces the incidence of surges.
• Natural resource abundance attracts foreign capital.
• Domestic credit expansion is a strong indicator of capital inflow surges.

Push Factors

• Leverage of U.S. funding markets (proxied by U.S. brokers and dealers) is a robust predictor of capital inflow surges.
• Global policy uncertainty and global risk aversion influence the likelihood of surges.
• S&P 500 returns and volatility are important external indicators.
• Regional contagion drives surges in both industrial and developing countries.

Empirical Evidence

• Surges in gross capital inflows are more volatile than net inflows, especially in the 2000s.
• The duration of surges is relatively uniform across countries, but their amplitude has increased.
• Gross inflow surges are more likely to coincide with or precede financial booms, particularly in industrial countries.
• Debt-led surges are more common and more likely to be followed by sudden stops in developing countries.
• Equity-led surges are less systematically related to pull or push factors, suggesting they are more idiosyncratic.

Policy Implications

• Macroeconomic stability and financial regulation are crucial in managing the risks associated with capital inflow surges.
• A mixed policy toolkit (combining monetary and macro-prudential policies) is necessary to address the volatility and risks of large capital inflows.
• Conventional macroeconomic instruments should remain the first line of defense against large-scale capital flows.
• Financial openness and institutional quality are key in determining the likelihood and impact of capital inflow surges.

Methodology and Data

• The study uses quarterly data for 67 countries (23 industrial and 48 developing) from 1975 to 2010.
• Surge episodes are identified using two criteria:
  • CDMN criterion (from Cowan, De Gregorio, Micco and Neilson, 2008)
  • FW criterion (from Forbes and Warnock, 2012a, b)
• Surges are defined as periods when year-over-year changes in cumulative gross inflows exceed one standard deviation above the rolling mean.
• The paper also differentiates between overall and private capital inflows to assess their respective impacts.

Conclusion

The paper concludes that both domestic and external factors are important in explaining surges in gross and net capital inflows. While developing countries are more influenced by domestic conditions, industrial countries are more affected by external factors such as U.S. financial market leverage and global economic conditions. Understanding these drivers is essential for policymakers to manage financial stability and systemic risks associated with large capital inflows.