International reserves and gross capital flows dynamics

Alberola, Enrique; Erce, Aitor; Serena, José María

doi:10.1016/j.jimonfin.2015.09.003

Cited by 59 publications

(14 citation statements)

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“…Rey (2013) argues that gross financial flows are crucial for assessing financial stability and credit conditions, while net flows (mirroring current account imbalances) are key for the sustainability of net international investment positions. 1 Borio and Disyatat (2015) posit that it is conceptually and empirically more appropriate to focus on gross flows rather than net flows in open macroeconomy models. Broner et al (2013Broner et al ( , 2014 find that gross capital flows are typically pro-cyclical; thus they collapse during crises, with the retrenchment occurring both in the form of capital flight by foreign residents and repatriation of foreign investments by domestic investors.…”

Section: Introductionmentioning

confidence: 99%

The great moderation in international capital flows: A global phenomenon?

McQuade

Schmitz

2017

Journal of International Money and Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may No 1952 / August 2016Note: This Working Paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB Abstract This paper highlights a recent 'great moderation' in global capital flows, characterised by smaller volumes and lower volatility of cross-border transactions. However, there are substantial differences across countries and regions which we analyse by comparing the level of international capital flows observed in 2005-06, immediately prior to the onset of the global financial crisis, to the post-crisis period of 2013-14, when global flows arguably settled at a 'new normal'. We find that since the pre-crisis period, gross capital inflows recovered more for economies with smaller pre-crisis external and internal imbalances, lower per capita income, improving growth expectations, a less severe impact of the global financial crisis and less stringent macroprudential policy. On the asset side, countries with a more accommodative monetary policy, a milder impact of the crisis and oil exporters managed to increase gross capital outflows in the post-crisis period.

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Section: Introductionmentioning

confidence: 99%

The great moderation in international capital flows: A global phenomenon?

McQuade

Schmitz

2017

Journal of International Money and Finance

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“…10 We do not find a clear dependence of capital flow responses to tighter US monetary policy on foreign reserves (see Figure A2 in Appendix). Alberola, Erce, and Serena (2016) find that the magnitude of a decrease in capital inflows into EMEs due to global financial stress (measured by the Global EMBI+ spread) is small for countries with moderate foreign reserves (as fractions of international liabilities) and large for countries with either low or high foreign reserves. Policy authorities can build up foreign reserves to temper a country's vulnerability to sudden stops in capital flows.…”

Section: A Do Emerging Market Economy Responses Depend On Their Econmentioning

confidence: 90%

“…Capital flows into EMEs are an important transmission channel of global liquidity, as examined by Morgan (2011);Rey (2015); Broner et al (2013) ;Cerutti, Claessens, and Ratnovski (2014) ;Alberola, Erce, and Serena (2016); Kim and Shin (2016) ;Chari, Dilts-Stedman, and Lundblad (2017);and Cerutti, Claessens, and Rose (2017). We analyze four components of capital inflows: bond investments, equity investments, foreign direct investments, and other investments.…”

Section: Introductionmentioning

confidence: 99%

“…Policy makers may choose this course of action to moderate the impact of hot money flows on inflation, in part through sterilized intervention, which results in foreign reserve accumulation and dampened responses in exchange rates. Alberola, Erce, and Serena (2016) in their panel analysis find that foreign reserves in EMEs have stabilizing effects on capital inflows during global financial turmoil, and report a significant interaction effect of the spread on the J.P. Morgan Emerging Markets Bond Index Plus (EMBI+) and international reserves, which moderates the first-order effect of the spread by reducing capital inflows to EMEs.…”

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confidence: 99%

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Divergent Emerging Market Economy Responses to Global and Domestic Monetary Policy Shocks

Choi¹,

Kang²,

Kim³

et al. 2017

ADB Economics Working Paper Series

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“…It is required to implement proper empirical tests of theoretical hypotheses, such as the effect of the exchange rate regime on macroeconomic and trade outcomes, or whether the "impossible trinity" holds. Alberola et al (2016), Erdem and Özmen (2015), Lin and Chu (2013) and Martin (2016) are some recent examples of the routine use of "off-the-shelf" regime classifications in empirical work.…”

Section: Introductionmentioning

confidence: 99%

De Facto Exchange Rate Regime Classifications: An Evaluation

2016

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There exist several statistically-based exchange rate regime classifications that disagree with one another to a disappointing degree. To what extent is this a matter of the quality of the design of these schemes, and to what extent does it reflect the need to supplement statistics with other information (as is done in the IMF's de facto classification)? It is shown that statistical methods are good at the basics (distinguishing some type of peg from some type of float), but less helpful in other respects, such as determining whether a float is managed, particularly for countries that are not very remote from their main trading partners. Different measures of exchange rate volatility have been used but are not primarily responsible for differences between classifications. The theoretical underpinning of particular classification schemes needs to be more explicit.

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International reserves and gross capital flows dynamics

Cited by 59 publications

References 14 publications

The great moderation in international capital flows: A global phenomenon?

The great moderation in international capital flows: A global phenomenon?

Divergent Emerging Market Economy Responses to Global and Domestic Monetary Policy Shocks

De Facto Exchange Rate Regime Classifications: An Evaluation

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