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Capital flows-at-risk: push, pull and the role of policy

Fernando Eguren-Martin, O’Neill, Cian, Andrej Sokol () and Lukas von dem Berge
Authors registered in the RePEc Author Service: Fernando Eguren Martin

No 2538, Working Paper Series from European Central Bank

Abstract: We characterise the probability distributions of various categories of gross capital flows conditional on information contained in financial asset prices in a panel of emerging market economies, with a focus on ‘tail’ events. Our framework, based on the quantile regression methodology, allows for a separate role of push- and pull-type factors, and because it is based on high-frequency data, can quantify the likelihood of different outturns before official capital flows data are released. We find that both push and pull factors have heterogeneous effects across the distributions of gross capital flows, which are most marked in the left tails. We also explore the role of various policies, and find that macroprudential and capital flows management measures are stabilising, leading to lower chances of either large portfolio inflows or out flows. JEL Classification: F32, F34, G15

Keywords: capital controls; capital flight; capital flows; capital flow surges; financial conditions indices; macroprudential policy; push versus pull; quantile regression; retrenchment; sudden stops (search for similar items in EconPapers)
Date: 2021-04
New Economics Papers: this item is included in nep-mon and nep-rmg
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Working Paper: Capital flows-at-risk: push, pull and the role of policy (2020) Downloads
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