|Credit<br>In<br>Out<br>.130<br>.019<br>.145<br>.058<br>.156<br>.060<br>.356<br>.171<br>.332<br>.164<br>.330<br>.167<br>.344<br>.171<br>.171<br>.136<br>.452<br>.331<br>.478<br>.353<br>mated from 6 non-<br>lus 8 US variables<br>th in real effective<br>ies (characterized<br>on-large countries<br>d in Cerutti et al.<br> "Aggr." indicates<br>ated to the annual<br>are normalized by<br>pposed to current<br>rs from emerging<br>Values in the frst<br>ted fow data, the<br>ver FDI, portfolio<br>ity).|
|---|
|Portf. Debt<br>In<br>Out<br>.088<br>.097<br>.121<br>.120<br>.130<br>.124<br>.215<br>.213<br>.211<br>.205<br>.220<br>.245<br>.248<br>.236<br>.184<br>.157<br>.404<br>.196<br>.393<br>.207<br>factor esti<br>ountries, p<br>wth, grow<br>ced countr<br>nd to 63 n<br>rs provide<br> estimator;<br>are aggreg<br>hat fows<br>ency), as o<br>nd 2 facto<br>excluded. <br>disaggrega<br>justed_R_2o<br>rtfolio equ|
|Portf. Eq.<br>In<br>Out<br>.120<br>.127<br>.158<br>.151<br>.160<br>.154<br>.255<br>.350<br>.227<br>.318<br>.228<br>.317<br>.217<br>.330<br>.128<br>.217<br>.211<br>.372<br>.223<br>.395<br>own on a<br>merging c<br>, GDP gro<br>s to advan<br>" correspo<br>s the facto<br>mponents <br>rly factors<br>indicates t<br>arly frequ<br>dvanced a<br>edom are <br>en using <br>age the ad<br>bt plus po|
|FDI<br>In<br>Out<br>.252<br>.166<br>.250<br>.187<br>.259<br>.199<br>.438<br>.426<br>.429<br>.415<br>.423<br>.416<br>.450<br>.459<br>.136<br>.204<br>.384<br>.464<br>.427<br>.516<br>e fows sh<br>from 12 e<br>urve slope<br>rrespond<br>ile "Small<br>CCR" use<br>incipal co<br>he quarte<br>; "Trend"<br> 100 at ye<br>rs from a<br>ees of fre<br>17c). Wh<br>), the aver<br>ortfolio de|
|ll types<br>In<br>Out<br>.137<br>.106<br>.163<br>.132<br>.171<br>.138<br>.233<br>.138<br>.259<br>.209<br>.307<br>.278<br>.296<br>.271<br>.297<br>.280<br>.311<br>.289<br>.453<br>.388<br>.486<br>.406<br>.522<br>.420<br>.161<br>.189<br>.364<br>.345<br>.373<br>.345<br>.637<br>.506<br>.654<br>.559<br>.667<br>.582<br>.670<br>.362<br>.519<br>.422<br>.575<br>.480<br>.568<br>.462<br>.583<br>.479<br>gressing th<br>r estimated<br>ad, yield c<br> "Adv." co<br> data), wh<br>(2017c)). "<br>ing the pr<br>cates that t<br>early data)<br>parameter <br>hat 2 facto<br>an 10 degr<br>ti et al. (20<br>t al. (2017c<br>ortfolio (p|
|Sample<br>A<br>Both<br>Small<br>.122<br>Small<br>.148<br>Small<br>.154<br>Small<br>.187<br>Small<br>.206<br>Small<br>.293<br>Small<br>.284<br>Small<br>.289<br>Small<br>.301<br>Small<br>.426<br>Small<br>.453<br>Small<br>.479<br>Adv.<br>.175<br>Adv.<br>.355<br>Adv.<br>.359<br>Adv.<br>.576<br>Adv.<br>.610<br>Adv.<br>.630<br>Adv.<br>.653<br>All.<br>.477<br>All<br>.533<br>All.<br>.524<br>All<br>.540<br>ed_R_2from re<br>another facto<br>ate, TED spre<br> . The sample<br>i et al. (2017c)<br> Cerutti et al. <br> estimated us<br>"Yearly’"indi<br>ed with the y<br>P flter with <br> 2" indicates t<br>s with less th<br>ure 5 of Cerut<br>wing Cerutti e<br>dit and total p|
|Flow<br>Freq.<br>Scaling<br>type<br>GDP<br>Disaggr.<br>Quart.<br>Curr.<br>Disaggr.<br>Quart.<br>Curr.<br>Disaggr.<br>Quart.<br>Trend<br>Aggr.<br>Quart.<br>Curr.<br>Aggr.<br>Quart.<br>Trend.<br>Disaggr.<br>Yearly’<br>Curr.<br>Disaggr.<br>Yearly’<br>Curr.<br>Disaggr.<br>Yearly<br>Curr.<br>Disaggr.<br>Yearly<br>Trend<br>Aggr.<br>Yearly<br>Curr.<br>Aggr.<br>Yearly<br>Trend<br>Aggr.<br>Yearly<br>Curr.<br>Disaggr.<br>Quart.<br>Curr.<br>Disaggr.<br>Yearly<br>Curr.<br>Disaggr.<br>Yearly<br>Trend<br>Aggr.<br>Yearly<br>Curr.<br>Aggr.<br>Yearly<br>Trend<br>Aggr.<br>Yearly<br>Curr.<br>Aggr.<br>Yearly<br>Trend<br>Aggr.<br>Yearly<br>Curr.<br>Aggr.<br>Yearly<br>Trend<br>Aggr.<br>Yearly<br>Curr.<br>Aggr.<br>Yearly<br>Trend<br>.2: Average of the adjust<br>advanced countries and<br>ominal and real funds r<br>ge rate and M2 growth) <br>big=0 or ad=1 in Cerutt<br>terized by nonbig=1 in <br>; "PC" stands for factors<br>fow types are summed;<br>ather than being estimat<br>DP (computed using H<br>dicated as "Curr."; "PC <br>es are used. Regression<br>rrespond to those in fg<br>"All types" shows, follo<br>portfolio debt, bank cre|
|Factors<br>CCR<br>PC<br>PC<br>PC<br>PC<br>CCR<br>PC<br>PC<br>PC<br>PC<br>PC<br>PC 2<br>CCR<br>PC<br>PC<br>PC<br>PC<br>PC 2<br>PC 2<br>PC<br>PC<br>PC2<br>PC2<br>Table C<br>central<br>(VIX, n<br>exchan<br>by non<br>(charac<br>(2017c)<br>that all<br>level (r<br>trend G<br>GDP, in<br>countri<br>row co<br>column<br>equity,|

70