Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/234092
Authors: 
Eguren-Martin, Fernando
O'Neill, Cian
Sokol, Andrej
von dem Berge, Lukas
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2538
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 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.
Subjects: 
capital flows
sudden stops
capital flight
retrenchment
capital flow surges
push versus pull
capital controls
macroprudential policy
nancial conditions indices
quantile regression
JEL: 
F32
F34
G15
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4538-7
Document Type: 
Working Paper

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