Estimados Académicos y Académicas FEN,

Les extendemos la invitación al seminario que organiza el Departamento de Economía, en el que se presentará el trabajo titulado "Capital Flows to Emerging Markets: Disentangling Quantities from Prices".

Expone: Alejandro Vicondoa, Profesor Asistente, Instituto de Economía-UC

Co-autor: Andrés fernández

Abstract: We study the joint dynamics in the volume and prices of capital flows to emerging market economies (EMEs). A dynamic factor model complemented with sign and zero restrictions allows us to identify demand/supply shocks of idiosyncratic/common nature. While common credit supply shocks are the main driver of prices, idiosyncratic credit demand and supply shocks account for most of the variation in quantities. A structural multi-country SOE/RBC model is calibrated to EMEs data to further shed light on the main transmission channels. Augmented with an estimated process for the country interest rate and correlated productivity and interest rate shocks, the model matches the comovement between prices and quantities as well as business cycle moments. Common credit demand drivers, captured as correlated TFP shocks, account for around half of the observed comovement in quantities but they are not a significant driver of price comovement. Fundamentals matter significantly more for capital flows than for country spreads, which are driven by a sizeable global financial cycle.

El formato será presencial y el seminario se desarrollará en la Sala P-305.

Saludos cordiales,

Dirección de Investigación