Work

The “Butterfly Effect” of Volatility in Net International Capital Flows: An Analysis of Co-Movement Characteristics and Influencing Factors

Year: 2024

Type: article

Abstract: This paper employs social network analysis to investigate the characteristics and determinants of co-movement in the volatility of net cross-border capital flows. We have identified a significant “small-world” pattern in the co-movement network. Economies with highly positive or negative co-movement of volatility in net capital flows display regional differences. Furthermore, economies with high trade intensity, large interest-rate spreads, membership in the same economic organization, and geographical adjacency exhibit significantly increased co-movement of volatility in net private capital flows and net other investment flows. Economies with large differences in economic growth present less co-movement of volatility in net portfolio flows.

Source: Sustainability

DOI: 10.3390/su16177302

Authors: Hang Luo, Jianwei Tan

Institutions: Chinese Academy of Sciences, Sino-Danish Centre for Education and Research, University of Chinese Academy of Sciences, Academy of Mathematics and Systems Science

Language: English

Topic: Global Financial Crisis and Policies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $2,728

OpenAlex ID: W4401889229

FWCI: 0.36

Cites: 35

Cited by: 1

Related to: 10