Afonso, A., Alves, J., Beck, K. and Jackson, K. 2024. Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows: the case of developed countries. Economic Modelling. 141 106902. https://doi.org/10.1016/j.econmod.2024.106902
| Title | Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows: the case of developed countries |
|---|---|
| Type | Journal article |
| Authors | Afonso, A., Alves, J., Beck, K. and Jackson, K. |
| Abstract | This paper examines the determinants of financial equity flows to investigate the role played by business cycles, government debt and sovereign rating scores, and whether the impact depends on the magnitude and direction of the flows. Using a new, richer dataset of flows among developed countries over 2001-2018, our key findings are as follows: (i) equity flows are more intense among countries at the same stage of the business cycle (ii) equity flows are higher to countries with a relatively lower debt to GDP ratio (iii) financial and macroeconomic variables are important for big equity flows, while institutional variables are important for the small flows. Overall, considering a wider range of factors under-explored in the literature, we provide a stronger understanding of the development of risks in the financial sector as well as the linkages with other sectors of the economy. |
| Keywords | OECD countries |
| business cycle | |
| sovereign ratings | |
| government debt | |
| semi-parametric regressions | |
| quantile regressions | |
| Article number | 106902 |
| Journal | Economic Modelling |
| Journal citation | 141 |
| ISSN | 0264-9993 |
| Year | 2024 |
| Publisher | Elsevier |
| Accepted author manuscript | License CC BY-NC-ND 4.0 File Access Level Open (open metadata and files) |
| Publisher's version | License CC BY 4.0 File Access Level Open (open metadata and files) |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.econmod.2024.106902 |
| Publication dates | |
| Published in print | Dec 2024 |
| Published online | 21 Oct 2024 |