The global financial cycle and capital flow episodes: A wobbly link?

Arbeitspapier

We add to the literature on the influence of the global financial cycle (GFC) and gyrations in capital flows. First, we build a new measure of the GFC based on a structural factor approach, which incorporates theoretical priors in its definition. This measure can also be decomposed in a price-based and quantity-based version of the GFC, which is novel in the literature. Second, we compare our measure to other common existing indicators of the GFC. Third, we estimate the influence of the fluctuations in the GFC on capital flow episodes (sudden stops, ights, retrenchments, surges) and currency crises, also testing for its stability and linearity. We find that the nexus between the GFC and capital flow episodes is generally consistent and not very wobbly. In line with theoretical priors, we find some evidence that the GFC is more important for sudden stops when it is more negative, i.e. the relationship is (mildly) convex, in keeping with a role for occasionally binding constraints, but the evidence for this feature is not strong.

Angaben zum Objekt

• ISBN: 978-92-899-3906-5
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 2337

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Current Account Adjustment; Short-term Capital Movements ; International Monetary Arrangements and Institutions ; Financial Aspects of Economic Integration ; International Policy Coordination and Transmission ; International Business Cycles
• Thema: Capital flows ; global financial cycle ; push factors ; structural factor analysis

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Scheubel, Beatrice ; Stracca, Livio ; Tille, Cédric
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2019

Weitere Informationen

• DOI: doi:10.2866/22278
• Handle: http://hdl.handle.net/10419/228215
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ