Staff Reports
International Capital Flow Pressures and Global Factors
Number 1051
February 2023

JEL classification: F32, G11, G20

Authors: Linda S. Goldberg and Signe Krogstrup

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 self-fulfilling exchange rate expectations and carry trade funding currencies. In contrast, association with more traditional macroeconomic country characteristics is weak.

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Author Disclosure Statement(s)
Linda Goldberg
The author declares that she has no relevant or material financial interests that relate to the research described in this paper.

Signe Krogstrup
The author declares that she has no relevant or material financial interests that relate to the research described in this paper.
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