The Dynamics of Capital Flow Episodes
提出识别股票和债券流动阶段的新方法，分析美国股市波动和货币政策冲击对不同阶段资本流动的影响，发现冲击效应随时间和阶段类型变化。
Abstract We first propose a novel methodology for identifying episodes of strong equity and bond flows using estimates from a regime‐switching model that keeps context‐ and sample‐specific assumptions to a minimum. We then assess the impacts of U.S. stock market volatility (VIX) and U.S. monetary policy shocks on equity and bond flow episodes. Our results indicate that the impacts of both shocks differ across in‐ and outflow episodes and, based on an assessment of equity flows, vary considerably over time. While VIX shocks are mostly associated with asymmetric impacts across episodes , U.S. monetary policy shocks generate such asymmetries primarily over time .