International capital flow pressures and global factors

• 成果类型: Article
• 署名作者: Goldberg, Linda S.; Krogstrup, Signe
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2023.103749
• 发表日期: 2023
• 关键词: Exchange market pressure; risk aversion; Safe haven; capital flows; Exchange rates; foreign exchange intervention; global financial; cycle

摘要

The risk sensitivity of international capital flow pressures is explored using a new Exchange Market Pressure index that combines pressures observed in exchange rate adjustments with model-based estimates of incipient pressures that are masked by foreign exchange interventions and policy rate adjustments. The sensitivity of capital flow pressures to risk sentiment evolves over time, varies significantly across countries, and differs between normal times and extreme stress events. Across countries, risk sensitivities and safe haven status are associated with self-fulfilling exchange rate expectations and carry trade funding currencies. In contrast, current indicators of a safe macroeconomic profile are only weakly associated with safe haven status. (c) 2023 The Authors. Published by Elsevier B.V. This is an open access article under the CC BYNC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).