Eguren-Martin, Fernando O'Neill, Cian Sokol, Andrej von dem Berge, Lukas
Year of Publication:
ECB Working Paper No. 2538
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.
capital flows sudden stops capital flight retrenchment capital flow surges push versus pull capital controls macroprudential policy nancial conditions indices quantile regression