International Capital Flow Pressures
IMF Working Papers, February 16, 2018
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- International Capital Flow Pressures
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Bibliographic details
- Authors: Linda S. Goldberg, Signe Krogstrup
- Published: February 16, 2018
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484341803.001
Overview
- Authors: Linda S. Goldberg, Signe Krogstrup
- Date: February 16, 2018
- Abstract summary:
- Presents a new measure of capital flow pressures in the form of a recast Exchange Market Pressure index.
- The measure captures pressures that materialize in actual international capital flows as well as pressures that result in exchange rate adjustments.
- The formulation is theory-based, relying on balance of payments equilibrium conditions and international asset portfolio considerations.
- Proposes the Global Risk Response Index, which reflects the country-specific sensitivity of capital flow pressures to measures of global risk aversion.
- For a large sample of countries over time, demonstrates time variation in the effects of global risk on exchange market pressures, the evolving importance of the global factor across types of countries, and the changing risk-on or risk-off status of currencies.
Methodology and Metrics
- Exchange Market Pressure:
- Recast as a measure that incorporates both observed international capital flows and exchange rate adjustments.
- Grounded in balance of payments equilibrium conditions and international asset portfolio considerations.
- Global Risk Response Index:
- Reflects country-specific sensitivity of capital flow pressures to measures of global risk aversion.
Key Findings
- Demonstrated time variation in the effects of global risk on exchange market pressures for a large sample of countries over time.
- Identified an evolving importance of the global factor across types of countries.
- Documented changing risk-on or risk-off status of currencies over time.
Subjects and Keywords
- Subjects: Balance of payments, Capital flows, Central banks, Currencies, Currency markets, Exchange rate adjustments, Exchange rates, Financial markets, Foreign exchange, International reserves, Money
- Keywords: appreciation pressure, base currency, capital flow data, capital flow pressure, Capital flows, capital outflow pressure, Currencies, currency experiences appreciation pressure, Currency markets, Exchange Market Pressure, exchange rate, exchange rate data, exchange rate elasticity, Exchange rates, flow data, flow pressure, Foreign Exchange Reserves, Global, Home exchange rate depreciation, International reserves, net capital, outflow pressure, reserves change, Risk aversion, Safe haven, WP
International Capital Flow Pressures — Linda S. Goldberg and Signe Krogstrup; IMF Working Papers, February 16, 2018.
Content in this bundle
- International Capital Flow Pressures, WP/18/30, February 2018