2020
DOI: 10.18651/rwp2020-08 View full text |Buy / Rent full text
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Abstract: This paper characterizes the implications of risk-on/risk-off shocks for emerging market capital flows and returns. We document that these shocks have important implications not only for the median of emerging markets flows and returns but also for the left tail.Further, while there are some differences in the effects across bond vs. equity markets and flows vs. asset returns, the effects associated with the worst realizations are generally larger than that on the median realization. We apply our methodology t… Show more

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“…The paper then contributes to the above-mentioned literature on the changing role of global factors in the post-GFC period (Shin, 2016;Goldberg and Krogstrup, 2018;Avdjiev et al, 2020;Forbes and Warnock, 2020) and more generally the literature on capital flow volatility in risk-on/risk-off periods (Chari, Dilts Stedman and Lundblad, 2020) by outlining that the role of global factors may have further lost explanatory power when including the COVID-19.…”
Section: Introductionmentioning
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rupbmjkragerfmgwileyiopcupepmcmbcthiemesagefrontiersapsiucrarxivemeralduhksmucshluniversity-of-gavle
“…The paper then contributes to the above-mentioned literature on the changing role of global factors in the post-GFC period (Shin, 2016;Goldberg and Krogstrup, 2018;Avdjiev et al, 2020;Forbes and Warnock, 2020) and more generally the literature on capital flow volatility in risk-on/risk-off periods (Chari, Dilts Stedman and Lundblad, 2020) by outlining that the role of global factors may have further lost explanatory power when including the COVID-19.…”
Section: Introductionmentioning
“…Bonciani and Ricci (2020) found that a considerable percentage of assets price volatility is related to changes in the VIX index. The second index is the "Risk On/Off" (noted ROF) used by Chari et al (2020). This index, proxy of IFS, captures the changes in risk-taking of multiple financial markets in the United States and Europe.…”
Section: Fam and Ifs Measurementsmentioning
“…'VIX' assesses the implicit instability of the S&P 500 stock option, which originates in the United States, and its impact emerges across the world. To broaden the global aspect of our results, we used the Chari et al (2020) index "Risk On/Off" (ROF), which describes the correlation between global risk-taking and surges of capital flows. Finally, we use the Baker et al (2016) index, which mirrors the news uncertainty of the United States monetary and economic policies (noted MPU and EPU, respectively).…”
Section: Robustness Checksmentioning
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