Are Determinants of Portfolio Flows Always the Same? - South African Results from a Time Varying Parameter Var Model

The literature on determinants of cross‐border capital flows has consistently assumed the determinants of such flows to be constant throughout the sample. This paper investigates this notion by estimating the time varying relationship between portfolio flows to South Africa and two widely accepted determinants of such flows: the sovereign spread and global risk (measured by the CBOE Volatility Index, henceforth VIX). The results show that the...