EconPapers    
Economics at your fingertips  
 

Structure of capital flows and exchange rate: the case of Croatia

Maja Bukovšak (), Gorana Lukinić Čardić () and Nina Pavić ()
Additional contact information
Maja Bukovšak: Croatian National Bank
Gorana Lukinić Čardić: Croatian National Bank
Nina Pavić: Croatian National Bank

Empirica, 2020, vol. 47, issue 1, 113-146

Abstract: Abstract The paper analyses the impact of different types of capital flows on the exchange rate in a small open economy using Croatian data. We estimate structural vector autoregressive models based on Cholesky decomposition with block exogeneity restrictions using different types of capital flows and find that the structure of capital flows matters for their impact on the exchange rate. On the one hand, debt capital inflows lead to kuna appreciation, irrespective of their maturity, while in terms of sectoral structure this is mostly due to corporate and government borrowing. On the other hand, there is some evidence that equity capital inflows lead to kuna depreciation, which could stem from their stronger orientation towards the tradable sector. The results also indicate that capital flows to the banking sector have no effect on the exchange rate, providing support for the use of countercyclical measures by the central bank.

Keywords: Capital inflows; Exchange rate; SVAR with block exogeneity (search for similar items in EconPapers)
JEL-codes: F21 F31 F32 F41 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s10663-018-9406-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
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:kap:empiri:v:47:y:2020:i:1:d:10.1007_s10663-018-9406-x

Ordering information: This journal article can be ordered from
http://www.springer. ... ration/journal/10663

DOI: 10.1007/s10663-018-9406-x

Access Statistics for this article

Empirica is currently edited by Fritz Breuss and Fritz Breuss

More articles in Empirica from Springer, Austrian Institute for Economic Research, Austrian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2020-02-29
Handle: RePEc:kap:empiri:v:47:y:2020:i:1:d:10.1007_s10663-018-9406-x