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.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Staff Report ; No. 1051

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Goldberg, Linda S. ; Krogstrup, Signe
• Event: Veröffentlichung
• (who): Federal Reserve Bank of New York
• (where): New York, NY
• (when): 2023

Further information

• Handle: http://hdl.handle.net/10419/272864