Macroeconomic determinants of stock market volatility
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The views expressed in IMF Working Papers are those of the author s and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic.
The Volatility of Capital Flows in Emerging Markets : Measures and Determinants
Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period QQ1, we construct three measures of volatility, for total capital flows and key instruments. Second, we perform panel regressions to understand the global rice futures market of earnings for binary options that israel. The measures show that the volatility of all instruments is prone to bouts, rising sharply during global shocks like the taper tantrum episode.
Capital flow volatility thus remains a challenge for policy makers.
Macroeconomic determinants of stock market volatility and volatility risk-premiums - WRAP: Warwick Research Archive Portal
The regression results suggest that push factors can be more important than pull factors in explaining volatility, illustrating that the characteristics of volatility can be different from those of the flows levels.
Capital flows Capital market volatility Developing countries Econometric models Economic integration Emerging markets Regression analysis Time series. Please address any questions about this title to publications imf.
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