Universität zu Köln

Hoffmann, Mathias, Krause, Michael U. ORCID: 0000-0001-5265-3116 and Tillmann, Peter (2019). International capital flows, external assets and output volatility. Journal of International Economics, 117. 242 - 256. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1873-0353 ; 0022-1996

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Abstract

Cross-sectional evidence for 119 developing, emerging, and developed countries shows over the last three decades that countries with an on average higher volatility of output growth experience more procyclical capital outflows over the business cycle than those countries with the same growth rate but a more stable output path. This stylized pattern shows up in addition to the recently established fact that countries with higher macroeconomic uncertainty tend to accumulate higher external asset positions. To explain this finding we present an open-economy real business cycle model with stochastic growth rates in which higher uncertainty of the expected income stream increases the precautionary savings of households. We show that the combination of income risk and the precautionary savings motive leads to both more procyclical capital outflows in the shorter run and a higher long-run external asset position. (C) 2018 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Hoffmann, Mathias UNSPECIFIED UNSPECIFIED UNSPECIFIED Krause, Michael U. UNSPECIFIED orcid.org/0000-0001-5265-3116 UNSPECIFIED Tillmann, Peter UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-154871
DOI:	10.1016/j.jinteco.2018.12.005
Journal or Publication Title:	Journal of International Economics
Volume:	117
Page Range:	242 - 256
Date:	2019
Publisher:	ELSEVIER SCIENCE BV
Place of Publication:	AMSTERDAM
ISSN:	1873-0353 ; 0022-1996
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Weitere Institute, Arbeits- und Forschungsgruppen > Center for Macroeconomic Research (CMR)
Subjects:	Economics
Uncontrolled Keywords:	Keywords Language COUNTRIES; RICH Multiple languages Economics Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/15487