EconPapers    
Economics at your fingertips  
 

International Capital Flow Pressures and Global Factors

Linda Goldberg and Signe Krogstrup

No 1051, Staff Reports from Federal Reserve Bank of New York

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, including for so-called safe-haven currencies, 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, association with more traditional macroeconomic country characteristics is weak.

Keywords: exchange market pressure; risk aversion; safe haven; capital flows; exchange rates; foreign exchange interventions; global financial cycle (search for similar items in EconPapers)
JEL-codes: F32 G11 G20 (search for similar items in EconPapers)
Pages: 61
Date: 2023-02-01
New Economics Papers: this item is included in nep-fdg, nep-ifn, nep-int, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr1051.pdf Full text (application/pdf)
https://www.newyorkfed.org/research/staff_reports/sr1051.html Summary (text/html)

Related works:
Journal Article: International capital flow pressures and global factors (2023) Downloads
Working Paper: International Capital Flow Pressures and Global Factors (2023) Downloads
Working Paper: International Capital Flow Pressures and Global Factors (2023) Downloads
Chapter: International Capital Flow Pressures and Global Factors (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fednsr:95595

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli ().

 
Page updated 2025-03-22
Handle: RePEc:fip:fednsr:95595