Are all types of capital flows driven by the same factors? Evidence from Mexico

Ibarra, R. & Téllez-León, Elizabeth (2020). Are all types of capital flows driven by the same factors? Evidence from Mexico. Empirical Economics 59 461-502. 10.1007/s00181-019-01624-5.

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In this paper, we analyse the impact and persistence of shocks to global (push) and domestic (pull) factors on each component of the financial account for the Mexican Balance of Payments, at the highest degree of disaggregation, including investment by foreign residents in Mexican public and private sector securities, as well as investment by domestic residents in foreign securities. To this end, we estimate impulse response functions from vector autoregressive models for the period 1995–2015. We find that an increase in the foreign interest rate leads to lower portfolio investment. An increase in global risk generates lower portfolio investment, particularly in private sector securities. Foreign investors respond to a higher extent to foreign interest rate and liquidity shocks compared to domestic investors.

Item Type: Article
Uncontrolled Keywords: Capital flows, Push factors, Pull factors, Vector autoregression
Research Programs: Advanced Systems Analysis (ASA)
Evolution and Ecology (EEP)
Risk & Resilience (RISK)
Related URLs:
Depositing User: Luke Kirwan
Date Deposited: 16 Jan 2019 09:30
Last Modified: 27 Aug 2021 17:31

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