Forecasting capital flows to emerging markets: A Kalman filtering approach

Ashoka Mody, Mark P. Taylor, Jung Yeon Kim

Research output: Contribution to journalArticlepeer-review

4 Scopus citations


This article provides capital flow forecasts to 32 developing countries using an unobserved components model and maximum likelihood Kalman filtering estimation. Permanent and temporary components of capital flows of bond, equity and syndicated loans are separated out to the countries concerned. Based on these models, and using monthly data up to December 2000, forecasts of various capital flows are presented for the period January 2001 to December 2003. The results of the time series based forecasts are then compared to those obtained using a fundamentals-based approach.

Original languageEnglish (US)
Pages (from-to)581-589
Number of pages9
JournalApplied Financial Economics
Issue number6
StatePublished - 2001
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


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