Portfolio Capital Flows: Hot or Cold?
研究分析了五个工业国和五个发展中国家的国际收支数据，发现短期和长期资本流动的标签并不能反映其时间序列特性，长期流动的波动性和不可预测性不亚于短期流动。
A distinction is often made between short-term and long-term capital flows: the former are deemed unstable hot money and the latter are deemed stable cold money. Using time-series analysis of balance of payments data for five industrial and five developing countries, we find that in most cases the labels "short-term " and "long-term " do not provide any information about the time-series properties of the flow. In particular, long-term flows are often as volatile as short-term flows, and the time it takes for an unexpected shock to a flow to die out is similar across flows. Long-term flows are also at least as unpredictable as short-term flows, and knowledge of the type of flow does not improve the ability to forecast the aggregate capital account. Several developing countries have received large capital inflows in recent years, reversing a trend of outflows for most of the 1980s (see Gooptu 1993). Much of this new capital inflow has been short-term portfolio investment, including bonds, equities, and short-term instruments such as certificates of deposit and commercial paper. This surge in short-term flows has raised the question of whether these flows will be sustained or instead be reversed in the near future.