The “Butterfly Effect” of Volatility in Net International Capital Flows: An Analysis of Co-Movement Characteristics and Influencing Factors
Abstract
:1. Introduction
2. Literature Review
3. Methodology and Data
3.1. Methodology
3.2. Data
4. Co-Movement Characteristics of Volatility in Net International Capital Flows: A Network Analysis Approach
4.1. Co-Movement Characteristics of Volatility in Net Private Capital Flows
4.2. Co-Movement Characteristics of Volatility in Net Direct Investment Flows
4.3. Co-Movement Characteristics of Volatility in Net Portfolio Investment Flows
4.4. Co-Movement Characteristics of Volatility in Net Other Investment Flows
5. Factors Influencing the Co-Movement of Volatility in Net International Capital Flows—Based on the MRQAP Method
5.1. Model Construction
5.2. Baseline Results
5.3. Heterogeneity Analysis
6. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
Abbreviations
MRQAP | Multiple Regression Quadratic Assignment Procedure. |
Appendix A
Emerging and Developing Economies (21) | Advanced Economies (25) | |||||
---|---|---|---|---|---|---|
Asia-Pacific Region | The Americas Region | European Region | Africa Region | Asia-Pacific Region | The Americas Region | European Region |
Mainland China | Argentina | Hungary | South Africa | Hong Kong, China | United States | Austria |
India | Bolivia | Poland | Japan | Canada | Czech Republic | |
Bangladesh | Brazil | Romania | Korea | Denmark | ||
Indonesia | Chile | Russia | Singapore | Finland | ||
Malaysia | Colombia | Türkiye | Israel | France | ||
Philippines | Ecuador | Ukraine | Australia | Germany | ||
Thailand | Mexico | New Zealand | Iceland | |||
Ireland | ||||||
Italy | ||||||
The Netherlands | ||||||
Norway | ||||||
Portugal | ||||||
Spain | ||||||
Sweden | ||||||
Switzerland | ||||||
United Kingdom |
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Times Periods | Average Degree | Network Density | Average Clustering Coefficient | Average Path Length |
---|---|---|---|---|
2000Q1–2020Q4 | 30.696 | 0.682 | 0.724 | 1.3179 |
2000Q1–2008Q2 | 24.565 | 0.546 | 0.695 | 1.4821 |
2009Q3–2020Q4 | 31.348 | 0.697 | 0.757 | 1.3034 |
Times Periods | Average Degree | Network Density | Average Clustering Coefficient | Average Path Length |
---|---|---|---|---|
2000Q1–2020Q4 | 31.826 | 0.707 | 0.758 | 1.2928 |
2000Q1–2008Q2 | 28.609 | 0.636 | 0.756 | 1.3662 |
2009Q3–2020Q4 | 27.087 | 0.602 | 0.675 | 1.3981 |
Times Periods | Average Degree | Network Density | Average Clustering Coefficient | Average Path Length |
---|---|---|---|---|
2000Q1–2020Q4 | 31.174 | 0.693 | 0.731 | 1.3072 |
2000Q1–2008Q2 | 31.783 | 0.706 | 0.796 | 1.2937 |
2009Q3–2020Q4 | 34.087 | 0.757 | 0.836 | 1.2435 |
Times Periods | Average Degree | Network Density | Average Clustering Coefficient | Average Path Length |
---|---|---|---|---|
2000Q1–2020Q4 | 31.696 | 0.704 | 0.752 | 1.2957 |
2000Q1–2008Q2 | 31.957 | 0.710 | 0.824 | 1.3014 |
2009Q3–2020Q4 | 31.13 | 0.692 | 0.802 | 1.3082 |
Variables | Private Capital Flow | Direct Investment Flow | Portfolio Investment Flow | Other Investment Flow |
---|---|---|---|---|
Trade intensity | 0.038 * | −0.046 ** | 0.021 | 0.042 * |
Economic growth rate differentials | −0.108 | 0.027 | −0.188 ** | −0.024 |
Interest rate spread | −0.714 ** | −0.038 | 0.026 | −0.158 * |
Inflation rate differentials | 0.102 | 0.071 | −0.119 | −0.017 |
Differences in capital controls | 0.056 * | −0.056 * | 0.106 *** | −0.113 ** |
Geographical adjacency | 0.309 *** | −0.009 | −0.012 * | 0.056 ** |
Both belong to the same economic organization | 0.156 *** | 0.004 | 0.067 | 0.129 * |
Constant | 0.150 *** | 0.015 *** | 0.279 *** | 0.154 *** |
R-squared | 0.158 | 0.010 | 0.099 | 0.098 |
Observations | 2070 | 2070 | 2070 | 2070 |
Variables | Private Capital Flow | Direct Investment Flow | Portfolio Investment Flow | Other Investment Flow |
---|---|---|---|---|
Trade intensity | 0.193 * | −0.108 ** | −0.111 *** | 0.043 |
Economic growth rate differentials | −0.059 | 0.047 | −0.078 | −0.065 |
Interest rate spread | −0.192 ** | −0.034 | −0.041 | −0.114 |
Inflation rate differentials | 0.006 | 0.033 | −0.018 | 0.021 |
Differences in capital controls | −0.068 | −0.054 | −0.036 | −0.191 ** |
Geographical adjacency | 0.073 | 0.142 ** | 0.002 | 0.202 *** |
Both belong to the same economic organization | 0.119 * | −0.003 | 0.095 | 0.084 |
Constant | 0.150 *** | 0.027 *** | 0.120 *** | 0.194 *** |
R-squared | 0.145 | 0.038 | 0.034 | 0.133 |
Observations | 462 | 462 | 462 | 462 |
Variables | Private Capital Flow | Direct Investment Flow | Portfolio Investment Flow | Other Investment Flow |
---|---|---|---|---|
Trade intensity | 0.035 | 0.002 | 0.031 | 0.013 |
Economic growth rate differentials | −0.171 ** | −0.039 | 0.042 | −0.036 |
Interest rate spread | 0.008 | 0.155 * | −0.381 ** | −0.300 * |
Inflation rate differentials | −0.029 | −0.197 ** | 0.194 | 0.491 *** |
Differences in capital controls | 0.155 * | 0.006 | 0.198 * | −0.070 |
Geographical adjacency | −0.033 | 0.010 | −0.139 ** | −0.021 |
Both belong to the same economic organization | 0.036 | 0.076 | −0.112 | 0.002 |
Constant | 0.110 *** | −0.066 *** | 0.476 *** | 0.265 *** |
R-squared | 0.062 | 0.017 | 0.067 | 0.067 |
Observations | 552 | 552 | 552 | 552 |
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Luo, H.; Tan, J. The “Butterfly Effect” of Volatility in Net International Capital Flows: An Analysis of Co-Movement Characteristics and Influencing Factors. Sustainability 2024, 16, 7302. https://doi.org/10.3390/su16177302
Luo H, Tan J. The “Butterfly Effect” of Volatility in Net International Capital Flows: An Analysis of Co-Movement Characteristics and Influencing Factors. Sustainability. 2024; 16(17):7302. https://doi.org/10.3390/su16177302
Chicago/Turabian StyleLuo, Hang, and Jianwei Tan. 2024. "The “Butterfly Effect” of Volatility in Net International Capital Flows: An Analysis of Co-Movement Characteristics and Influencing Factors" Sustainability 16, no. 17: 7302. https://doi.org/10.3390/su16177302