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International Capital Flow Pressures and Global Factors

In: NBER International Seminar on Macroeconomics 2022

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  • Linda S. Goldberg
  • Signe Krogstrup

Abstract

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.
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Suggested Citation

  • Linda S. Goldberg & Signe Krogstrup, 2022. "International Capital Flow Pressures and Global Factors," NBER Chapters, in: NBER International Seminar on Macroeconomics 2022, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:14897
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    3. Ahmed, Rashad & Aizenman, Joshua & Saadaoui, Jamel & Uddin, Gazi Salah, 2023. "On the effectiveness of foreign exchange reserves during the 2021-22 U.S. monetary tightening cycle," Economics Letters, Elsevier, vol. 233(C).
    4. Mbondo, Georges Dieudonné & Bouwawe, Duclo, 2023. "Transformation structurelle des pays à revenu faible et intermédiaire en Afrique Sub-saharienne : quels rôles des flux des capitaux internationaux ? [Structural transformation of low- and middle-in," MPRA Paper 117911, University Library of Munich, Germany, revised 11 Jul 2023.
    5. Linda S. Goldberg, 2024. "Global Liquidity: Drivers, Volatility and Toolkits," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 1-31, March.

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    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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