TY - JOUR
T1 - Financial flows, global interest rates, and political integration
AU - Nagayasu, Jun
N1 - Funding Information:
This paper was presented at the 2017 Cross Country Perspectives of Finance conferences held in Chengdu, China and Chiang Mai, Thailand. The earlier version was also presented at the biannual meeting of the Japan Society of Monetary Economics (Kobe). I would like to thank Rui Chen, Kazuyuki Inagaki, Ronald MacDonald, Charilaos Mertzanis, Alexis Stenfors, Richard Werner, the participants in these conferences as well as two anonymous referees for their useful comments. I also thank Gabriel Cordoba for his research assistance. This research was conducted when the author was visiting the University of Glasgow. Declarations of interest: none. This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors.
Publisher Copyright:
© 2018 Elsevier Inc.
PY - 2019/12
Y1 - 2019/12
N2 - This paper empirically analyzes international financial flows using data from 2000 to 2016. Using a factor model to calculate a proxy for global interest rates, we confirm that national real interest rates include global elements, particularly those of advanced countries. Thus, interest rate differentials have no significant influence on the financial flows of advanced countries. On the other hand, we find that exchange rates and political integration more consistently influence investment decisions on forming financial portfolios than interest rates.
AB - This paper empirically analyzes international financial flows using data from 2000 to 2016. Using a factor model to calculate a proxy for global interest rates, we confirm that national real interest rates include global elements, particularly those of advanced countries. Thus, interest rate differentials have no significant influence on the financial flows of advanced countries. On the other hand, we find that exchange rates and political integration more consistently influence investment decisions on forming financial portfolios than interest rates.
KW - Financial flows
KW - Global interest rate
KW - Uncovered interest rate parity
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U2 - 10.1016/j.frl.2018.11.021
DO - 10.1016/j.frl.2018.11.021
M3 - Article
AN - SCOPUS:85057447032
VL - 31
SP - 313
EP - 320
JO - Finance Research Letters
JF - Finance Research Letters
SN - 1544-6123
ER -