Capital flows at risk: Taming the ebbs and flows

• 成果类型: Article
• 署名作者: Gelos, Gaston; Gornicka, Lucyna; Koepke, Robin; Sahay, Ratna; Sgherri, Silvia
• 署名单位: International Monetary Fund; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2021.103555
• 发表日期: 2022
• 关键词: capital flows; Macroprudential policies; Foreign-exchange intervention; capital controls; Emerging markets

摘要

We propose a new quantile regression framework to predict the entire future probability distribution of capital flows to emerging markets, based on changes in global financial conditions, domestic structural characteristics, and policies. The approach allows us to differentiate between the impact on the median versus the tails of the future predicted density of flows, and between short-and medium-term effects. We find that FX-and macroprudential interventions are effective in mitigating downside risks to portfolio flows stemming from adverse global shocks, while tightening of capital controls in response appears to be counterproductive. Good institutional frameworks are not able to shield countries from the increased volatility of portfolio flows in the immediate aftermath of global shocks, but can contribute to a more rapid bounce-back of foreign flows over the medium term. Our results highlight the limitations of the standard approach, which focuses only on the short-term behavior of average flows.(c) 2021 International Monetary Fund. Published by Elsevier B.V. All rights reserved.