新兴市场的资本流动：将数量与价格脱钩

Capital Flows to EmergingMarkets: DisentanglingQuantities from Prices Andres Fernandez and Alejandro Vicondoa WP/26/60 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2026MAR IMF Working Paper Monetary and Capital Markets Department Capital Flows to Emerging Markets: Disentangling Quantities from PricesPrepared byAndres Fernandez and Alejandro Vicondoa* Authorized for distributionby Thorvardur OlafssonMarch2026 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:We study the joint dynamics in the volume and prices of capital fows to emerging marketeconomies (EMEs). A dynamic factor model augmented with sign and zero restrictions allows us to identifydemand/supply shocks of idiosyncratic/common nature. While common credit supply shocks are the maindriver of prices, idiosyncratic credit demand and supply shocks account for most of the variation in quantities. Astructural multicountry SOE/RBC model is calibrated to EMEs data to further shed light on the maintransmission channels. Augmented with correlated productivity and interest rate shocks, the model matches thecomovement between prices and quantities as well as business cycle moments. Common credit demanddrivers, captured as correlated TFP shocks, account for around half of the observed comovement in quantitiesbut they are not a signicant driver of price comovement. Fundamentals matter signicantly more for capital flowsthan for country spreads, which are driven by a sizeable global financial cycle. Capital Flows to EmergingMarkets: Disentangling Quantitiesfrom Prices Prepared byAndres Fernandez and Alejandro Vicondoa1 Contents Glossary...............................................................................................................................................................5 1.Introduction ..................................................................................................................................................... 6 3.1Data........................................................................................................................................................ 143.2Correlation Between Spreads and Capital Flows within EMEs..............................................................213.3Correlation Between Spreads and Capital Flows Across EMEs ............................................................223.4Disentangling the Drivers of Capital Flows to EMEs..............................................................................24Estimating Common Factors .................................................................................................................24The Role of Supply and Demand Drivers .............................................................................................. 273.5Extensions .............................................................................................................................................32Adding Advanced Economies................................................................................................................32Regional EME Factors...........................................................................................................................33Impact of U.S. Monetary Policy .............................................................................................................363.6Robustness ............................................................................................................................................ 37Alternative Measures of Capital Flows and Country Spreads ............................................................... 39Portfolio Investment and FDI .................................................................................................................43Economies with Open Financial Account ..............................................................................................44 4.Capital Flows and Country Spread Dynamics: A Structural Multi-Country Model .................................45 4.1The Model ..............................................................................................................................................474.2Driving Forces ........................................................................................................................................494.3Calibration..............................................................................................................................................514.4Model Eval