The 47 references in paper Maria Sole Pagliari, Swarnali Ahmed Hannan (2017) “The Volatility of Capital Flows in Emerging Markets: Measures and Determinants” / RePEc:rut:rutres:201710

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VI. APPENDIX A. Countries and Regions Asia (AS): China, India, Indonesia, Kazakhstan, Malaysia, Philippines, Sri Lanka, Thailand; Europe (EU): Albania, Bulgaria, Croatia, Hungary, Lithuania, Latvia, Poland, Romania, Russia; Latin America (LATAM): Brazil, Chile, Colombia, Costa Rica, Ecuador, El Salvador, Guatemala, Mexico, Peru, Paraguay, Uruguay; Middle East and Africa (MEAF): Egypt, Jordan, Saudi Arabia, South Africa, Turkey.
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B. Data Capital flows: 1970Q1-2016Q4 from International Financial Statistics (IFS); missing quarterly data have been extrapolated from the annual series using the disaggregation technique of Boot et al. (1967). Real GDP: 1970Q1-2016Q4 from IFS; missing quarterly data have been extrapolated from the annual series using the disaggregation technique of Boot et al. (1967); non-seasonally adjusted series have been adjusted using the US Census’ X13 program; growth rates are y-o-y. Nominal GDP: 1970Q1-2016Q4 from IFS; missing quarterly data have been extrapolated from the annual series using the disaggregation technique of Boot et al. (1967); non-seasonally adjusted series have been adjusted using the US Census’ X13 program. CPI: 1970Q1-2016Q4 from IFS; missing quart
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1993. For Euro Area members (Latvia and Lithuania), national exchange rates after the adoption of Euro have been computed by multiplying the fixed national currency/EUR conversion rate, reported by Eurostat, times the EUR/USD exchange rate as reported by the European Central Bank (ECB). Exchange rates are included in the regressions in real terms, i.e.: !"#= %&' ()*&'
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Wu-Xia US Shadow Rate: 1970Q1:2016Q4 from the Federal Reserve Bank of Atlanta. When positive, the shadow rate coincides with the Fed Fund rate. S&P 500 realized returns: 1970Q1:2016Q4 from the FRED database of the Federal Reserve Bank of St. Louis. The rate is annualized. US real GDP: 1970Q1:2016Q4 from IFS. US CPI: 1970Q1:2016Q4 from IFS; 2010=100. US M2: 1970Q1:2016Q4 from the FRED database of the Federal Reserve Bank of St. Louis. US Current Account: 1970Q1:2016Q4 from IFS. Commodity price index: 1970Q1:2016Q4 from the Hamburg Institute of International Economics (HWWI); 2005=100. C. Regression tests Endogeneity In order to check whether the right-end side variables are affected by endogeneity, we first run panel regressions with variables and specificatio
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Instrument Statistic Distribution P-value Total 5.91E-16 F(11,146) 1.00 FDI 3.35E-16 F(11,146) 1.00 Portfolio 7.66E-16 F(11,146) 1.00 Portfolio Debt 9.62E-16 F(11,146) 1.00 Portfolio Equity 2.12E-15 F(11,146) 1.00 Other 1.92E-15 F(11,146) 1.00 Other - private 6.30E-16 F(11,146) 1.00 Other - government 3.36E-16 F(11,146) 1.00 Other - banks 8.57E-16 F(11,146) 1.00 Other - non-banks 7.92E-16 F(11,146) 1.00
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