Correlations across Asia-Pacific bond markets and the impact of capital flow management measures

Chantapacdepong, Pornpinun; Shim, Ilhyock

doi:10.1016/j.pacfin.2015.05.005

Cited by 17 publications

(20 citation statements)

References 22 publications

(25 reference statements)

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“…Indeed, Chantapacdepong and Shim (2015) found an increasing bond flow correlation when a country loosens controls on bond inflows, whereas no correlation is found for tightening policy actions. Most EMEs have implemented controls on capital inflows, but very few have attempted to control outflows.…”

Section: Policy Recommendationmentioning

confidence: 96%

Spillover Effects of Unconventional Monetary Policy in Asia and the Pacific

Punzi

Chantapacdepong

2017

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Asian Development Bank InstituteThe Working Paper series is a continuation of the formerly named Discussion Paper series; the numbering of the papers continued without interruption or change. ADBI's working papers reflect initial ideas on a topic and are posted online for discussion. ADBI encourages readers to post their comments on the main page for each working paper (given in the citation below). Some working papers may develop into other forms of publication.ADB recognizes "China" as the People's Republic of China; "Hong Kong" as Hong Kong, China; and "Korea" as the Republic of Korea. The views expressed in this paper are the views of the author and do not necessarily reflect the views or policies of ADBI, ADB, its Board of Directors, or the governments they represent. ADBI does not guarantee the accuracy of the data included in this paper and accepts no responsibility for any consequences of their use. Terminology used may not necessarily be consistent with ADB official terms.Working papers are subject to formal revision and correction before they are finalized and considered published.Asian Development Bank Institute Kasumigaseki Building 8F 3-2-5 Kasumigaseki, Chiyoda-ku Tokyo 100-6008, JapanTel:+81-3-3593-5500 Fax:+81-3-3593-5571 URL:www.adbi.org E-mail: info@adbi.org AbstractWe assess the evolution of spillover effects of unconventional monetary policies (UMPs) on Asia and the Pacific region, and evaluate the impact on and implications for the macroeconomy. We develop a Panel Vector Auto Regression model for Asia and the Pacific region for a period covering data from first quarter 2000 until first quarter 2015. We split the overall sample into two subsets: the Pre-Crisis (2000q1-2006q4) and Post-Crisis (2009q1-2015q1) samples. We identify UMP shocks with a shadow interest rate estimated by Krippner (2013).We find that Asia and the Pacific region has responded to the advanced economies' actions with accommodative monetary policy. Such lower interest rates were coupled with currency appreciation, asset price inflation, and strong movements in capital flows. Foreign investors have shifted their preferences for bonds in Asia and the Pacific. If prior to the Global Financial Crisis (GFC), the "global saving glut" hypothesis (i.e., Asian savings flight to the US) was one of the major effects resulting in booming US house prices, it is clear that a reversal effect has dominated the economy after the GFC: funds flight to As...

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Section: Policy Recommendationmentioning

confidence: 96%

Spillover Effects of Unconventional Monetary Policy in Asia and the Pacific

Punzi

Chantapacdepong

2017

SSRN Journal

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“…We construct our own database even though there are many valuable CFM databases such as Shim, Bogdanova, Shek, and Subelyte (2013), Chantapacdepong and Shim (2015), Cerutti, Correa, Fiorentino, and Segalla (2016), Cerutti, Claessens, and Laeven (2017), and Fernández, Klein, Rebucci, Schindler, and Uribe (2015) for following reasons. Shim et al (2013) constructed a database that covers 60 countries between January 1990 and June 2012.…”

Section: Data and Variable Constructionmentioning

confidence: 99%

“…Shim et al (2013) constructed a database that covers 60 countries between January 1990 and June 2012. We refer to the Chantapacdepong and Shim (2015) database but do not use it directly because this database only covers Asia-Pacific countries. We refer to the Chantapacdepong and Shim (2015) database but do not use it directly because this database only covers Asia-Pacific countries.…”

Section: Data and Variable Constructionmentioning

confidence: 99%

“…However, they focus on policy measures on housing markets, which could not have significant impact on cross-border capital flows. We refer to the Chantapacdepong and Shim (2015) database but do not use it directly because this database only covers Asia-Pacific countries. Cerutti et al (2016) and Fernández et al (2015) made an annual database, but we need a quarterly database for empirical analysis.…”

Section: Data and Variable Constructionmentioning

confidence: 99%

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Capital flow management policies in emerging market economies: Are they successful in mitigating drastic changes of capital flows?

Hwang

Park

2018

Int. J Fin Econ

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This paper constructs a new database for capital flow management policies (CFMs) in 16 emerging market economies from 1999 to 2008 and analyses their effect on extreme capital flow movements. We show that CFMs are effective in mitigating drastic changes of capital flows. We also find that CFMs do not have significant impacts on capital flow volumes. The results suggest that CFMs could be employed as policy toolkits for mitigating extreme capital flow movements without distorting capital flows in a normal period.

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“…2 Their results indicate that most capitalflow management measures are ineffective in accomplishing their key targets while some macroprudential measures can help mitigate financial vulnerability such as bank leverage, credit growth and portfolio investment liabilities. Bruno, Shim, and Shin (2016) propose a comparative assessment of macroprudential policies for 12 Asia-Pacific countries based on datasets constructed by Chantapacdepong and Shim (2014). They find that capital flow management measures can slow down banking inflows and bond inflows.…”

Section: Introductionmentioning

confidence: 99%