Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/272864 
Year of Publication: 
2023
Series/Report no.: 
Staff Report No. 1051
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
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.
Subjects: 
exchange market pressure
risk aversion
safe haven
capital flows
exchange rates
foreign exchange intervention
global financial cycle
JEL: 
F32
G11
G20
Document Type: 
Working Paper

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