Essays in International Capital Flows and Capital Controls
Loading...
Authors
Olani, Adugna
Date
Type
thesis
Language
eng
Keyword
Capital Flow , Capital Control , Business Cycles , Open Economy Macroeconomics , Foreign Direct Investment , Monetary Policy , Emerging Market , Exchange Rate , Interest Rate
Alternative Title
Abstract
In this dissertation, I first explore the effects of categories of capital inflows on output volatility and output growth in developing countries and propose a welfare-improving capital control policy. I provide empirical evidence and theoretical support for capital control targeted at foreign portfolio liabilities and examine its quantitative welfare implications. I then examine the dynamic effects of global monetary policy as well as emerging economies’ domestic monetary and exchange rate shocks on the categories of capital inflows.
In Chapter 2, I first analyze the effects of financial account openness on output volatility and output growth in developing countries. I then study the effects of the categories of capital inflows on output volatility and output growth. I use panel cross-country ordinary least square regressions and panel instrumental variable regressions, and estimate the effects of financial account openness and categories of capital inflows on output volatility and output growth.
In Chapter 3, I develop and analyze a stochastic, small open economy, real business cycle model. The model incorporates two categories of capital inflows, endogenous collateral constraints, interest rate premia above the world interest rate and adjustment costs which are increasing and convex in each capital inflow type. Investments financed by foreign direct liabilities increase production more than those financed by foreign portfolio liabilities as foreign direct liabilities increase productivity via technology transfer. A capital control taxis imposed on foreign portfolio liability interest payments. Model simulations indicate that an increase in the tax rate on foreign portfolio liability interest payment results in a welfare improvement.
Chapter 4 analyzes the effects of the U.S. monetary policy shocks on gross foreign direct and portfolio investment inflows to emerging markets and compares them to those associated with domestic monetary policy and exchange rate shocks. It uses panel and country-specific structural vector auto-regressions to analyze and compare the dynamics, magnitude, and differential impacts of the shocks on each inflow category. The response of foreign direct investment inflows to policy shocks is weak while that of foreign portfolio investment is stronger and immediate. I also provide clearer comparison of “push" and “pull" factors on financial flows via forecast error variance decomposition.
Description
Citation
Publisher
License
CC0 1.0 Universal
Queen's University's Thesis/Dissertation Non-Exclusive License for Deposit to QSpace and Library and Archives Canada
ProQuest PhD and Master's Theses International Dissemination Agreement
Intellectual Property Guidelines at Queen's University
Copying and Preserving Your Thesis
This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.
Queen's University's Thesis/Dissertation Non-Exclusive License for Deposit to QSpace and Library and Archives Canada
ProQuest PhD and Master's Theses International Dissemination Agreement
Intellectual Property Guidelines at Queen's University
Copying and Preserving Your Thesis
This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.