Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189875 
Year of Publication: 
2018
Series/Report no.: 
Staff Report No. 834
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
This paper presents a new measure of capital flow pressures in the form of a recast exchange market pressure index. The measure captures pressures that materialize in actual international capital flows as well as pressures that result in exchange rate adjustments. The formulation is theory-based, relying on balance of payments equilibrium conditions and international asset portfolio considerations. Based on the modified exchange market pressure index, the paper also proposes a global risk response index, which reflects the country-specific sensitivity of capital flow pressures to measures of global risk aversion. For a large sample of countries over time, we demonstrate time variation in the effects of global risk on exchange market pressures, the evolving importance of the global factor across types of countries, and the changing risk-on or risk-off status of currencies.
Subjects: 
exchange market pressure
risk aversion
safe haven
capital flows
exchange rate
foreign exchange reserves
JEL: 
F32
G11
G20
Document Type: 
Working Paper

Files in This Item:
File
Size
1.4 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.