Capital Flows-at-Risk: Push, Pull and the Role of Policy

45 Pages Posted: 23 Apr 2021

See all articles by Fernando Eguren Martin

Fernando Eguren Martin

Bank of England

Cian O'Neill

Bank of England

Andrej Sokol

European Central Bank (ECB)

Lukas von dem Berge

Bank of England

Multiple version iconThere are 2 versions of this paper

Date Written: April 1, 2021

Abstract

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 flows 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 out flows.

JEL Classification: F32, F34, G15

Suggested Citation

Eguren Martin, Fernando and O'Neill, Cian and Sokol, Andrej and von dem Berge, Lukas, Capital Flows-at-Risk: Push, Pull and the Role of Policy (April 1, 2021). ECB Working Paper No. 2021/2538, Available at SSRN: https://ssrn.com/abstract=3832772

Fernando Eguren Martin (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Cian O'Neill

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Andrej Sokol

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Lukas Von dem Berge

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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