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International Capital Flow Pressures

Linda Goldberg and Signe Krogstrup

No 24286, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Pressures on currencies manifest in exchange rate adjustments and international capital flows, and can also be offset by policy responses. This paper presents a theory-based measure of capital flow pressures, a new Exchange Market Pressure index, which combines pressures observed in exchange rate adjustments, official foreign exchange intervention and monetary policy changes. We use the index to identify so called safe-haven and risk-on status currencies and investigate the drivers of this status, showing the importance of country net foreign asset positions, size, and capital account openness. We also re-assess the contribution of the global financial factor in international capital flow pressures. The global factor explains a larger share of pressures on currencies measured using the EMP compared with using capital flow quantities. However, this global factor share is strongly dominated by idiosyncratic variation and only episodically large.

JEL-codes: F32 G11 G20 (search for similar items in EconPapers)
Date: 2018-02
New Economics Papers: this item is included in nep-ifn and nep-opm
Note: IFM ITI
References: Add references at CitEc
Citations: View citations in EconPapers (30)

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Working Paper: International capital flow pressures (2018) Downloads
Working Paper: International Capital Flow Pressures (2018) Downloads
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