Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Essays on international capital flows and macroeconomic stability
Thesis (PhD)--University of Pretoria, 2015.
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
University of Pretoria
2016
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613448325562368 |
|---|---|
| access_status_str | Open Access |
| author2 | Viegi, Nicola |
| author_browse | Viegi, Nicola |
| author_facet | Viegi, Nicola |
| collection | Thesis |
| dc_rights_str_mv | © 2016 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Thesis (PhD)--University of Pretoria, 2015. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/52986 |
| institution | University of Pretoria (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:36:18.633Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/52986 Essays on international capital flows and macroeconomic stability Viegi, Nicola haakon.kavli@outlook.com Kavli, Haakon Northcraft UCTD Thesis (PhD)--University of Pretoria, 2015. Global monetary policy, financial risk and risk aversion are important determinants of international capital flows. Capital flows may in turn cause expansion of credit and leverage in the recipient economy. This PhD thesis contributes to our understanding of the transmission channel from global risk factors to domestic credit and saving. We estimate the time varying effects of risk on portfolio flows to South Africa, we estimate the transmission of portfolio flows to credit, and lastly we incorporate our empirical findings in a two-country DSGE model with portfolio flows and risk constrained financial intermediaries. Risk and risk aversion are found to affect bond and share flows to South Africa differently. Risk consistently affects bond flows more than share flows. The relationship between risk and portfolio flows is also found to be continuosly evolving and highly dependent on the macroeconomic environment. We further study the transmission channel linking portfolio flows to credit extension in South Africa. We posit that the transmission works by increasing banks supply of credit and we find empirical support for this hypothesis. Parts the proceeds from portfolio flows are deposited in local banks. This cash injection increases banks supply of credit and the effect is pro-cyclical. If the cash is injected during a credit expansion it will have a stronger effect on credit extended. We find that share flows tend to cause more cash injections than bond flows and are therefore more prone to cause credit expansions. The empirical findings guide our construction of a two-country DSGE model with financial intermediaries and macroprudential policy. The model shows that portfolio flows arise from changes in asset demand from foreigners relative to demand from residents. Simulations show that risk shocks affecting both emerging market and foreign investors will cause demand for emerging market bonds to shift from the foreign to the local investor, causing an outflow in the emerging bond market. Both the foreign and domestic investors will cut demand for shares, and therefore the direction of share flows is unpredictable. Shocks to risks that are only carried by foreign investors cause stronger portfolio flows out of emerging market shares. The global policy environment has a great impact on the transmission of global shocks to portfolio flows. Bond supply can absorb risk shocks, while interest rates can absorb income shocks. Tighter macroprudential policy in the recipient economy has very limited, if any, effect on the relationship between portfolio flows and domestic credit extension. Economics PhD Unrestricted 2016-06-09T12:59:43Z 2016-06-09T12:59:43Z 2016-04-12 2015 Thesis Kavli, HN 2015, Essays on international capital flows and macroeconomic stability, PhD Thesis, University of Pretoria, Pretoria, viewed yymmdd <http://hdl.handle.net/2263/52986> A2016 http://hdl.handle.net/2263/52986 en © 2016 University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | UCTD Essays on international capital flows and macroeconomic stability |
| title | Essays on international capital flows and macroeconomic stability |
| title_full | Essays on international capital flows and macroeconomic stability |
| title_fullStr | Essays on international capital flows and macroeconomic stability |
| title_full_unstemmed | Essays on international capital flows and macroeconomic stability |
| title_short | Essays on international capital flows and macroeconomic stability |
| title_sort | essays on international capital flows and macroeconomic stability |
| topic | UCTD |
| url | http://hdl.handle.net/2263/52986 |