Capital flows and GDP in emerging economies and the role of global spillovers

Beckmann, Joscha; Czudaj, Robert

doi:10.1016/j.jebo.2017.07.031

Cited by 17 publications

(12 citation statements)

References 51 publications

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“…( 3)In addition, the study assumes no contemporaneous relationship between economic growth and macroeconomic instability, and between inflation rate between international capital inflow especially the FDI following many empirical studies that reported no association between economic growth and inflation rate (See (Bai, 2013;Bailliu, 2000;Batu, 2017;Beckmann & Czudaj, 2017)). That is, neither economic growth nor capital inflow is expected to affect macroeconomic instability.…”

Section: Methodsmentioning

confidence: 99%

International Capital Inflow and Sub-Saharan African Economy: Does Capital Inflow Lead Growth?

Adebayo¹,

Oluwaseun²

2020

Growth

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Sub-Sahara African (SSA) countries have become more integrated with the world economy since the early 1990s leading to a surge in international capital inflows, but have also experienced sporadic downfalls in their growth rates leading to instabilities in some macroeconomic variables. This paper examined the dynamic and causal relationship between economic growth and international capital inflow in SSA using data covering the period of 1990 to 2018. Through Structural Vector Autoregression (SVAR) impulse response and variance decomposition, the study found a positive relationship between growth and international capital inflow in SSA. It also found negative relationships between macroeconomic instability and economic growth; and macroeconomic instability and international capital inflow in SSA. In addition, through VAR Granger Causality or Block Exogeneity Wald Tests, the study found a unidirectional causal relationship running from growth to international capital inflow in SSA. The study also found that international capital inflow did not cause economic growth but economic growth attracts international capital inflows. Therefore, the study concluded that a buoyant and viable economy provides conducive business environment for international investors better than less viable economy. Thus, the study recommended that governments and policy makers in SSA should put in place policies that will promote economic growth to attract more international capital inflows which would augment the scarcely available domestic capital resources most especially in terms of knowledge, skills and other technological advancement, that would later translate into further economic growth in SSA region.

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Section: Methodsmentioning

confidence: 99%

International Capital Inflow and Sub-Saharan African Economy: Does Capital Inflow Lead Growth?

Adebayo¹,

Oluwaseun²

2020

Growth

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“…To examine expectation effects from monetary policy we apply a panel VAR in the tradition of Canova and Ciccarelli (2009) and Beckmann and Czudaj (2017a), which builds on the formulation of the VAR model…”

Section: B Empirical Methodologymentioning

confidence: 99%

“…To examine expectation effects from monetary policy we apply a panel VAR in the tradition of Canova and Ciccarelli () and Beckmann and Czudaj (), which builds on the formulation of the VAR model

y_{it} = \sum_{j = 1}^{p_{1}} D_{italicit, j} Y_{t - j} + \sum_{j = 1}^{p_{2}} C_{italicit, j} W_{t - j} + e_{it},

where i = 1, …, N and t = 1, …, T are the indices for the cross section and the time dimension, respectively. For our VAR model the vector y it of dimension G × 1 is defined as

\begin{matrix} y_{italicit} & = [{pr}_{it}, F_{i, t - 12} (π_{i, t}), F_{i, t - 12} ({GDP}_{i, t}) \\ {(],,,,, π_{italicit}, {normalGDP}_{italicit})}^{'} \forall i, \end{matrix}

where pr it denotes the monetary policy rate for country i , π it gives its inflation rate, and GDP it represents its GDP growth rate.…”

Section: Data and Empirical Modelingmentioning

confidence: 99%

“…4. See, for instance, Boumparis, Milas, and Panagiotidis (2017) for a recent analysis of policy uncertainty effects on sovereign credit ratings and the studies by Czudaj (2017b, 2017c) examining the role of several forms of uncertainty on exchange rate expectations and forecast errors. Another strand of literature proposed by Husted, Rogers, and Sun (2017) focuses on a direct measure of monetary policy uncertainty.…”

Section: B Expectations and The Role Of Information Rigiditiesmentioning

confidence: 99%

“…MCMC methods can be applied to obtain the posterior distributions of the time-varying factors it (see Canova andCiccarelli 2009 andCzudaj 2017a for details). To illustrate the MCMC routine followed in our study, consider the likelihood of the reparameterized model given in…”

Section: Appendix Mcmc Approachmentioning

confidence: 99%

See 2 more Smart Citations

Monetary Policy Shocks, Expectations, and Information Rigidities

Beckmann

Czudaj

2018

Economic Inquiry

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This paper contributes to the literature by assessing expectation effects from monetary policy for G7 economies. We rely on expectation data from Consensus Economics and a panel vector autoregression framework, which accounts for international spillovers and time‐variation. We analyze whether monetary policy has changed the degree of information rigidity after the emergence of the subprime crisis and estimate effects of interest rate changes on expectations, disagreements, and forecast errors. We find strong evidence for information rigidities and identify higher forecast errors by professionals after monetary policy shocks. Our results suggest that the international transmission of monetary policy shocks introduces noisy information and partly increases disagreement among forecasters. (JEL E31, E52)

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Professional forecasters' expectations, consistency, and international spillovers

Beckmann

Czudaj

2020

Journal of Forecasting

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This paper focuses on the expectation formation process of professional forecasters by relying on survey data on forecasts regarding gross domestic product growth, consumer price index inflation and 3-month interest rates for a broad set of countries. We examine the interrelation between macroeconomic forecasts and also the impact of uncertainty on forecasts by allowing for crosscountry interdependencies and time variation in the coefficients. We find that professional forecasts are often in line with the Taylor rule and identify significant expectation spillovers from monetary policy in the USA.

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Capital flows and GDP in emerging economies and the role of global spillovers

Cited by 17 publications

References 51 publications

International Capital Inflow and Sub-Saharan African Economy: Does Capital Inflow Lead Growth?

International Capital Inflow and Sub-Saharan African Economy: Does Capital Inflow Lead Growth?

Monetary Policy Shocks, Expectations, and Information Rigidities

Professional forecasters' expectations, consistency, and international spillovers

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