Do Contagion Effects Exist in Capital Flow Volatility?

44 Pages Posted: 13 Nov 2012

See all articles by Hyun-Hoon Lee

Hyun-Hoon Lee

Kangwon National University

Cyn-Young Park

Asian Development Bank

Hyung-suk Byun

Kangwon National University

Date Written: September 1, 2012

Abstract

The paper aims to assess what influences volatility of capital flows to emerging countries and whether or not there is a spillover or contagion effect in the volatility. The empirical results suggest strong and significant contagion effects from global and regional volatilities on the volatility of capital flows in different types to individual economies. The evidence of contagion from global and regional volatilities implies that there is a strong need for global and regional policy cooperation to contain the spillover or contagion effects. However, other policy variables have a differential and time-varying effect on volatility of different types of capital inflow, presenting policy dilemma and challenge to producing coordinated efforts by global and regional policy makers.

Keywords: investments, economic crisis, Asian economies, capital markets, Asia finance, Asia GDP, global finance, contagion causes, financial stability, investment flows, investors

JEL Classification: F21, F36, G15

Suggested Citation

Lee, Hyun-Hoon and Park, Cyn-Young and Byun, Hyung-suk, Do Contagion Effects Exist in Capital Flow Volatility? (September 1, 2012). Asian Development Bank Economics Working Paper Series No. 302, Available at SSRN: https://ssrn.com/abstract=2174126 or http://dx.doi.org/10.2139/ssrn.2174126

Hyun-Hoon Lee (Contact Author)

Kangwon National University ( email )

Chunchon
Korea, Republic of (South Korea)

Cyn-Young Park

Asian Development Bank ( email )

6 ADB Avenue, Mandaluyong City 1550
Metro Manila
Philippines
(632) 632-5473 (Phone)

HOME PAGE: http://www.adb.org

Hyung-suk Byun

Kangwon National University ( email )

Chunchon
Korea, Republic of (South Korea)

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