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The Dynamics of Capital Flow Episodes
Author(s) -
FRIEDRICH CHRISTIAN,
GUÉRIN PIERRE
Publication year - 2020
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12614
Subject(s) - economics , equity (law) , volatility (finance) , monetary policy , monetary economics , capital flows , stock (firearms) , bond , outflow , econometrics , finance , geography , microeconomics , profit (economics) , archaeology , meteorology , political science , law
Abstract We first propose a novel methodology for identifying episodes of strong equity and bond flows using estimates from a regime‐switching model that keeps context‐ and sample‐specific assumptions to a minimum. We then assess the impacts of U.S. stock market volatility (VIX) and U.S. monetary policy shocks on equity and bond flow episodes. Our results indicate that the impacts of both shocks differ across in‐ and outflow episodes and, based on an assessment of equity flows, vary considerably over time. While VIX shocks are mostly associated with asymmetric impacts across episodes , U.S. monetary policy shocks generate such asymmetries primarily over time .