摘要：Capital reversals have formed several financial crises around the world since the 1980s.However, there is no consensus among economists on whether push or pull factors areresponsible for creation of capital reversal and financial crisis. Many economists includingReinhart et al. (1993), Broto et al. (2008), Fratzcher (2011), Ghosh et al. (2017), and Pagliari &Hannan (2017) believe that push factors are the main determinants of capital outflows during afinancial crisis. This group of economists has emphasized that the Fed’s interest rate policy hascontributed to capital reversal. While others, including Alfaro et al. (2014), Chen, Griffoli, &Sahay (2014), Broner and Ventura (2016), and Alberola et al. (2016) have underlined theimportance of pull factors such as macroeconomic fundamentals, productivity, domestic saving,level of foreign reserves, and soundness of the financial system. Given these contradictoryfindings, this paper attempts to investigate whether the Fed’s interest rate policy plays adominant role in explaining capital reversal for BRICs countries. One of the novel features ofthis study is that it implements fixed effects model to control for biased standard errors in financepanel data as suggested by Peterson (2009) and provides the results for each country separately.Using quarterly data for the period of 1987Q1-2017Q1, the estimated results for standardizedregression suggest that the Fed’s interest rate policy plays a dominant role compared to otherpush factors and country-specific macroeconomic fundamentals. However, real GDP and realexchange rate volatility are the most important pull factors that shape capital reversals and netportfolios.
关键词：Fed’s interest rate policy; capital reversal; push factors; pull factors; macroeconomic;fundamentals; real exchange rate volatility
