International capital flow pressures and global factors

Arbeitspapier

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 selffulfilling exchange rate expectations and carry trade funding currencies. In contrast, association with more traditional macroeconomic country characteristics is weak.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 1051

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Current Account Adjustment; Short-term Capital Movements ; Portfolio Choice; Investment Decisions ; Financial Institutions and Services: General
• Thema: exchange market pressure ; risk aversion ; safe haven ; capital flows ; exchange rates ; foreign exchange intervention ; global financial cycle

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Goldberg, Linda S. ; Krogstrup, Signe
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2023

Weitere Informationen

• Handle: http://hdl.handle.net/10419/272864
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ