Drivers of Korea’s Gross Capital Flows

• 발행기관: 한국자료분석학회
• 저자명: Yun Jung Kim
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.23 No.1, 25~38쪽, 전체 14쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2021.02.28

영문 초록

We identify unobserved global and regional latent factors that drive gross capital inflows and outflows of Korea using a multi-level factor model, and investigate the importance of these global, regional, and local drivers on both gross and net capital flows by variance decompositions. The estimated global and Asian common factors together account for approximately 70% of capital outflows, whereas they account for only approximately 40% of capital inflows of Korea. Capital outflows are strongly affected by global and regional shocks, whereas capital inflows are predominantly driven by the country-specific factor. In the past, the global factor used to be an important driver of both capital inflows and outflows. More recently, however, the global factor’s contribution to capital inflows drastically shrank, but its importance rose further in capital outflows. The global and regional drivers of gross flows appear to have a minimal effect on net capital inflows for Korea.

목차

1. Introduction

2. Methodology and Data

3. Empirical Results

4. Conclusion

References

키워드

gross capital flows global and regional factors latent factor model variance decomposition