International Capital Flow Pressures and Global Factors

Signe Krogstrup and Linda Goldberg

No 17833, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 time 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 intervention; Global financial cycle (search for similar items in EconPapers)
JEL-codes: F32 G11 G20 (search for similar items in EconPapers)
Date: 2023-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cepr.org/publications/DP17833 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: International capital flow pressures and global factors (2023)
Working Paper: International Capital Flow Pressures and Global Factors (2023)
Working Paper: International Capital Flow Pressures and Global Factors (2023)
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:cpr:ceprdp:17833

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP17833

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().