The role of risk and information for international capital flows : new evidence from the SDDS / prepared by Yuko Hashimoto and Konstantin M. Wacker.

By:

Hashimoto, Yuko

Contributor(s):

Wacker, Konstantin M

Material type: Text

TextSeries: IMF working paper ; no. 12/242.Publication details: Washington, DC : International Monetary Fund, 2012.Description: 1 online resource (43 pages) : illustrationsContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9781475512656
1475512651
1475511922
9781475511925
1475512627
9781475512625

Subject(s):

Genre/Form:

DDC classification:

332.042 23

LOC classification:

HG3891 .H37 2012eb

Online resources:

Click here to access online

Abstract: In this paper we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance with the IMF's Special Data Dissemination Standard (SDDS). For FDI, we find statistically significant and robust support for this hypothesis: SDDS subscription increased inflows by an economically relevant magnitude of about 60 percent. We also find evidence of aversion against political and macroeconomic risk as determinants of portfolio and FDI flows anduse a non-parametric test for spatial correlation in the residual of capital flows.

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In this paper we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance with the IMF's Special Data Dissemination Standard (SDDS). For FDI, we find statistically significant and robust support for this hypothesis: SDDS subscription increased inflows by an economically relevant magnitude of about 60 percent. We also find evidence of aversion against political and macroeconomic risk as determinants of portfolio and FDI flows anduse a non-parametric test for spatial correlation in the residual of capital flows.

"October 2012."

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