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  1. Capital flows-at-risk
    push, pull and the role of policy
    Author: Eguren-Martin, Fernando; O'Neill, Cian; Sokol, Andrej; Berge, Lukas von dem
    Published: [2021]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    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... more

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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534
    Inter-library loan:
    No inter-library loan

     

    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 ows 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 outflows.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289945387
    Other identifier:
    hdl: 10419/234092
    Series: Working paper series / European Central Bank ; no 2538 (April 2021)
    Subjects: capital flows; sudden stops; capital flight; retrenchment; capital flow surges; push versus pull; capital controls; macroprudential policy; nancial conditions indices; quantile regression
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  2. Sudden stops, sovereign risk, and fiscal rules
    Author: Gómez González, José Eduardo; Valencia, Oscar M.; Sánchez, Gustavo A.
    Published: March 2021
    Publisher:  Inter-American Development Bank, Institutions for Development Sector, [Washington, DC]

    This paper studies the effect of implementing fiscal rules on sovereign default risk and on the probability of large capital ow reversals for a large sample of countries including both developed and emerging market economies. Results indicate that... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 144
    Inter-library loan:
    No inter-library loan

     

    This paper studies the effect of implementing fiscal rules on sovereign default risk and on the probability of large capital ow reversals for a large sample of countries including both developed and emerging market economies. Results indicate that fiscal rules are beneficial for macroeconomic stability, as they significantly reduce both sovereign risk perception and the probability of a sudden stop in countries that implement them. These results, which are robust to various empirical specifications, have important policy implications specially for countries that have relaxed their fiscal rules in response to the Covid-19 pandemic.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/237488
    Series: IDB working paper series ; no IDB-WP-1207
    Subjects: fiscal rules; sovereign default risk; sudden stops; dynamic heterogeneous panel data models
    Scope: 1 Online-Ressource (circa 22 Seiten)
  3. Sudden stops and asset purchase programmes in the euro area
    Author: Fabiani, Josefina; Fidora, Michael; Setzer, Ralph; Westphal, Andreas; Zorell, Nico
    Published: [2021]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper analyses the incidence and severity of sudden stops in euro area countries before and after the introduction of the ECB's asset purchase programmes. We define sudden stops as abrupt declines in private net financial inflows, i.e. total... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 534
    Inter-library loan:
    No inter-library loan

     

    This paper analyses the incidence and severity of sudden stops in euro area countries before and after the introduction of the ECB's asset purchase programmes. We define sudden stops as abrupt declines in private net financial inflows, i.e. total flows adjusted for EU and IMF loans and changes in TARGET2 balances. Distinguishing between mild and severe sudden stops, we document that sudden stops were overall more frequent and more severe in euro area countries compared to other OECD economies over the period 1999-2020. On the basis of a multinomial logit model, we find that the susceptibility of euro area countries to severe sudden stops mainly reflects domestic fundamentals whereas there is no clear evidence of an adverse direct effect of being part of the euro area. On the contrary, TARGET2 appears to act as an "automatic stabiliser", counteracting sudden stops in private financial i nflows. Moreover, our econometric analysis suggests that the asset purchase programmes implemented by the ECB since 2015 have overall almost halved the risk of severe sudden stops in euro area countries. We find tentative evidence that this effect operates through confidence channels.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289948203
    Other identifier:
    hdl: 10419/246174
    Series: Working paper series / European Central Bank ; no 2597 (October 2021)
    Subjects: Financial flows; sudden stops; monetary policy; ECB asset purchase programmes
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen