Análise teórica e empírica dos determinantes dos fluxos de capitais financeiros para os países em desenvolvimento no contexto da globalização financeira

Abstract

Resumo Este artigo pretende dar uma contribuição à literatura empírica sobre os determinantes dos fl uxos de capitais de natureza fi nanceira direcionados aos países em desenvolvimento por meio de um modelo econométrico de dados em painel com a utilização do Método dos Momentos Generalizados-Sistema (MMG-S). Os resultados obtidos AbstractThis article aims to contribute to the empirical literature on the determinants of fi nancial capital fl ows to developing countries using an econometric panel data model with Generalized Method of Moments-System (GMM-S). As in former studies, the results showed the predominance of external factors over internal ones in determining capital fl ows. It is noteworthy the CBOE VIX volatility indicator, which showed signifi cant and with the expected sign on the eleven tested equations. According to the postKeynesian perspective adopted in this paper, this indicator could be interpreted as an indicator of the liquidity preference of private agents. In tests relating to dummy for the years of crisis with the internal variables, the variables reservations about the external debt and current account defi cit over GDP were statistically signifi cant, with the fi rst attenuated, while the second emphasized the impact of crisis.Keywords international monetary and fi nancial system; capital fl ows; developing countries; panel data model; GMM-S. JEL Codes C33; F32.Análise teórica e empírica dos determinantes dos fl uxos de capitais fi nanceiros para os países em desenvolvimento no contexto da globalização fi nanceira Theoretical and empirical analysis of the determinants of fi nancial capital fl ows to developing countries in the context of fi nancial globalization

Financialization and its implications on the determination of exchange rates of emerging market economies

“…Several authors have conducted empirical analyses on the relative weight of push and pull factors on capital flows, without achieving a consensus (see Weiss and Prates (2015)).…”

“…Ahmed and Zlate (2014), using the VIX on levels, find that the index influences net capital flows to EMEs. Weiss and Prates (2015) use an annual VIX (created from the average of monthly data) and find it is significant in determining financial flows to developing and emerging countries (across different econometric techniques and combination of determinants). Also using the VIX, Obstfeld (2015) finds evidence "consistent with the view that reductions in global-risk aversion are associated with portfolio shifts toward EMEs.…”

“…A different approach sees the VIX as an indicator of liquidity preference. High levels of liquidity preference -and of the VIX -would lead to flight to assets denominated in highlyliquid currencies 48 capital flowing to EMEs only if liquidity preference is low (Weiss and Prates, 2015). This approach and this causality are adopted in the thesis.…”