Net Capital Flows: All EMs
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- Ronald Benson
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2 in US$ billion 2 Net Capital Flows: All EMs Q1 Q2 211 Est Q1 27Q1 28Q1 29Q1 21Q1 211Q1
3 in US$ billion All EMs: Bonds Composite Indicator Portfolio Bonds Flows EPFR- right axis 26Q1 27Q1 28Q1 29Q1 21Q1 211Q
4 Lags in BoP capital flows data More timely and accurate indicators Timely surveillance and policy deliberation
5 Balance of Payments (Lag, in months, unless specified otherwise) Frequency Merchandise Trade (Lag, in months, unless specified otherwise) Frequency Brazil 25 days monthly 25 days monthly China 2 quarterly 8 days monthly Colombia 3 quarterly 1.5 monthly Indonesia 3 quarterly 1 monthly Romania 1.5 monthly 1.5 monthly Russia 3 quarterly 2 monthly South Africa 3 quarterly 1 monthly Thailand 3 quarterly 1.5 monthly Turkey 2 monthly 1 monthly
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7 199s: change in international reserves Calvo, Leiderman, and Reinhart, 1993 and 1996; Edwards, 2 Rising CA and trade imbalances 2s: the capital tracker, i.e., Trade Balance minus Change in international reserves Calvo et al., 24 and 28; Forbes and Warnock, 211; Reinhart and Reinhart, 29 and 21 21s: variants of the tracker Goldman Sachs, 21; UBS, 21
8 The Change in Reserves = Trade Balance Capital and Financial Flows + Income Errors and Omissions Transfers (Current Account) Capital and Financial Flows = The Change in Reserves - Trade Balance ( Merchandise Trade Balance = Service + Balance
9 in US$ billion Russia India Poland Turkey Net fl ows Capital tracker Jun-96 Jun-98 Jun- Jun-2 Jun-4 Jun-6 Jun-8 Jun-1
10 Variable: Net Inflows ( US$ mn) 1995Q2 21Q4 All EMs Asia EMs-ex China Emerging Europe Latin America EMs Other EMs Mean Standard Deviation 41,694 7,757 15,29 13,2 5,998 17,379 29,19 14,239 5,627 6,455 ADF test - t stat *** *** *** *** * OLS 2 Constant 12,758 *** 823 6,741 *** 7,779 *** -3,245 *** (3756.8) ( ) (232.49) ( ) (664.26) Capital tracker.71 ***.54 ***.75 ***.88 ***.85 *** (.5) (.4) (.7) (.8) (.8) R Square / Augmented Dickey fuller test ***, ** & * denote rejecting the null hypothesis that there is a unit root at the 1%, 5% and 1% level of confidence. 2/ OLS regression regressing net flows on co a constant and the capital tracker. Robust standard errors in parenthesis. ***, ** & * denote statistical significance at the 1%, 5% and 1% level of confidence.
11 Merchandise trade balance and services trade Trade balance and grants and remittances.8.6 Coefficient of correlation between merchandise and services trade- 1995Q2-21Q4 (yoy growth, quarterly & detrended) ARG BRA CHL IDN IND KOR PER RUS TUR ZAF
12 We propose two composite and coincident indicators that improve upon existing ones One for net flows; capital tracker based One for portfolio bond and equity flows; EPFR based Prediction of composite indicators in a real time setting Net flows continue to EMs until 211Q2 Large bond and equity outflows in 211Q3
13 Dependent Variable: Net Inflows (US$ mn) 1995Q2-21Q4 All EMs Asia ex-china EMs Emerging Europe Latin America EMs Other EMs Constant 16,961 18,886 *** 12,17 1,244-8,791 *** ( ) (618.95) ( ) (5668.6) (23.66) Capital flows tracker.49 ***.53 ***.53 ***.83 ***.91 *** (.6) (.6) (.7) (.9) (.1) VIX index -1,329 *** -581 *** -679 *** (398.64) (151.65) (254.52) (143.75) (53.43) US 3month Treasury bill rate ,599 * *** (1588.4) (616.2) (99.36) (7.14) (219.27) MSCI Equity Index 1.34 *** ***. 4.8 (.32) (1.35) (16.61) () (5.47) R Square No. of Observations Notes: The table presents results of an OLS model over 5 regional aggregates between 1995Q2 and 21Q4. Robust standard errors in parenthesis. ***, ** & * denote statistical significance at the 1%, 5% and 1% level of confidence.
14 in US$ billion All EMS Q moving average -5-1 Capital tracker Composite Indicator -15 Net flows -2 26Q1 27Q1 28Q1 29Q1 21Q1 211Q Q1 27Q1 28Q1 29Q1 21Q1 211Q1
15 1) the coefficient on the capital tracker is no longer constrained to be one and is optimally estimated 2) the inclusion of proxies for global liquidity conditions and regional EM MSCI index that affect capital flows to EMs across the board everything should be made as simple as possible, but not simpler (Albert Einstein)
16 in US$ billion All EMs : Equities All EMs : Bonds Portfolio Equity -6 EPFR- Equity (right axis) Mar-4 Sep-5 Mar-7 Sep-8 Mar Portfolio Bonds -8 EPFR- Bonds (right axis) Mar-4 Sep-5 Mar-7 Sep-8 Mar
17 Unit root test results: BOP portfolio flows & EPFR flows Variable Sample period All EMs Asia EMs Emerging Europe Latin America EMs Other EMs BOP Portfolio Flows: Bonds ** * *** 24Q2-21Q4 EPFR: Bonds ** BOP Portfolio Flows: Equity -3.5 * *** ** *** 21Q1-21Q4 EPFR: Equity -5.8 *** ** ** This table presents the t statistics of the augmented dickey fuller unit root test ***, ** & * denote rejecting the null hypothesis that there is a unit root at the 1%, 5% and 1% level of confidence.
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19 Coincident indicator for portfolio bond flows based on EPFR Dependent Variable: D(BOP Portfolio Inflows: Bond) 24Q2-21Q4 All EMs Asia EMs Emerging Europe Latin America EMs Other EMs Constant ** (3842.3) ( ) ( ) ( ) (376.41) D(EPFR: Bond flows) 8.21 *** *** 7.71 *** 4.53 *** ** (1.17) (3.43) (1.59) (1.33) (4.88) D(VIX index) (45.94) (273.32) (199.62) (21.14) (52.93) D(US 3month Treasury bill rate) * ( ) ( ) (2777.3) ( ) (84.8) Error correction term (t-1) -.37 * -.29 * -.96 *** -.88 *** -.89 *** (.19) (.16) (.22) (.26) (.24) Long term relationship EPFR: Bond flows (t-1) 7.47 *** 7.9 *** 7.88 *** 5.96 *** 9.64 *** (.91) (2.3) (.97) (.78) (1.66) R Square No. of Observations Notes: The table presents results of an error correction model over 5 regional aggregates between 24Q2 and 21Q4. Robust standard ***, ** & * denote statistical significance at the 1%, 5% and 1% level of confidence.
20 in US$ billion All EMs: Equities All EM:s Bonds Composite Indicator Portfolio Bonds Flows EPFR- right axis Composite Indicator Portfolio Equity Flows EPFR- right axis 26Q1 27Q1 28Q1 29Q1 21Q1 211Q1 26Q1 27Q1 28Q1 29Q1 21Q1 211Q Q moving average 26Q1 27Q1 28Q1 29Q1 21Q1 211Q1 4 Q moving average 26Q1 27Q1 28Q1 29Q1 21Q1 211Q
21 in US$ billion All EMs: Equities Composite Indicator Portfolio Equity Flows Q moving average EPFR- right axis Q1 27Q1 28Q1 29Q1 21Q1 211Q1 26Q1 27Q1 28Q1 29Q1 21Q1 211Q All EMs: Bonds Q moving average Composite Indicator Portfolio Bonds Flows EPFR- right axis Q1 27Q1 28Q1 29Q1 21Q1 211Q1 26Q1 27Q1 28Q1 29Q1 21Q1 211Q1
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