国际资本流动压力与全球因素（英）

NO.1051 FEBRUARY2023 InternationalCapitalFlowPressuresandGlobalFactors LindaGoldberg|SigneKrogstrup InternationalCapitalFlowPressuresandGlobalFactors LindaGoldbergandSigneKrogstrup FederalReserveBankofNewYorkStaffReports,no.1051February2023 JELclassification:F32,G11,G20 Abstract TherisksensitivityofinternationalcapitalflowpressuresisexploredusinganewExchangeMarketPressureindexthatcombinespressuresobservedinexchangerateadjustmentswithmodel-basedestimatesofincipientpressuresthataremaskedbyforeignexchangeinterventionsandpolicyrateadjustments.Thesensitivityofcapitalflowpressurestorisksentiment,includingforso-calledsafe-havencurrencies,evolvesovertime,variessignificantlyacrosscountries,anddiffersbetweennormaltimesandextremestressevents.Acrosscountries,risksensitivitiesandsafe-havenstatusareassociatedwithself-fulfillingexchangerateexpectationsandcarrytradefundingcurrencies.Incontrast,associationwithmoretraditionalmacroeconomiccountrycharacteristicsisweak. Keywords:exchangemarketpressure,riskaversion,safehaven,capitalflows,exchangerates,foreignexchangeintervention,globalfinancialcycle Goldberg:FederalReserveBankofNewYork(email:linda.goldberg@ny.frb.org).Krogstrup:DanmarksNationalbank(email:skro@nationalbanken.dk).TheauthorsthankPierre-OlivierGourinchasforvaluablesuggestionsonfeaturesoftheexchangemarketpressurespecification;participantsattheNBERISOM2022meeting,especiallyAnushaChari,KristenForbes,andLucLaeven,forthoughtfulfeedback;KarlyeDilts-StedmanforhelpwithROROindexconstruction,LucianaJuvenalforhelpwithfinancialexchangerateconstruction,andNastasijaLoncarforhelpwithforeignexchangeinterventiondata.Theyalsothanktheresearchassistantsfortheircontributionstodifferentaspectsofthisproject,includingmostrecentlySarahHamerling,SvetlanaGalvezStojsavljevic,andStoneKalisa. Thispaperpresentspreliminaryfindingsandisbeingdistributedtoeconomistsandotherinterestedreaderssolelytostimulatediscussionandelicitcomments.Theviewsexpressedinthispaperarethoseoftheauthor(s)anddonotnecessarilyreflectthepositionoftheFederalReserveBankofNewYorkortheFederalReserveSystem,orDanmarksNationalbank.Anyerrorsoromissionsaretheresponsibilityoftheauthor(s). Toviewtheauthors’disclosurestatements,visithttps://www.newyorkfed.org/research/staff_reports/sr1051.html. 1Introduction Internationalfinancialflowsandcurrencyvaluesareimportantforeconomicoutcomesandtheirdriversaresubjecttointensestudy.Researchfindsthatbothcapitalflowsandexchangeratesaredrivenbylocalandglobalfactors,withthelatterinclusiveofrisksentimentandthemonetarypolicystanceofreservecurrencycountries(Milesi-FerrettiandTille2011;ForbesandWarnock2012;Fratzscher2012;Rey2015,BrunoandShin2015,Kalemli-O¨zcan2019).Thesensitivitytoglobalfactorsiskeytounderstandingthedegreetowhichlocaleconomiesretainsomedomesticpolicyautonomyandtheappropriatemacro-financialpolicytoolkitstoapply(Rey2015;Obstfeldetal.2019). Internationalcapitalflowstendtoentersomeadvancedeconomiesandemergingmarketswhenglobalriskperceptionsarelowandgloballiquidityample,andretreatwhenglobalfinancialconditionstighten.Risk-oncurrenciestendtodepreciatewithelevatedglobalriskconditions,andsocalledsafehavencurrenciestendtoappreciate(RanaldoandSoederlind2010;Botmanetal.2013;HabibandStracca2012;deCarvalhoFilho2015).Thestrengthofglobalfactorsindrivingflowsandcurrenciesvarysubstantiallyacrosscountriesandovertime(Avdjiev,Gambacorta,GoldbergandSchiaffi2020),andareparticularlystrongwhenriskconditionsaremorepronounced(Charietal.2022,ForbesandWarnock2021,Obstfeld,OstryandQureshi2019).Evidenceforthestrengthoftheglobalfactorisstrongerinassetpricesthanincapitalflowvolumes(Miranda-AgrippinoandRey2015;Ceruttietal.2019). Inthispaper,werevisittheseissuesbyrecognizingthattheobservedresponsesofquantitiesofcapitalflows,exchangerates,anddomesticmonetarypolicytoglobalfactorsareinterdependentandinmanycountriescannotbestudiedinisolation.Incountrieswithfullyflexibleexchangerateregimes,exchangeratesmovequicklyinresponsetoincipientchangesincapitalflows,sup-plementingorevenobviatingtheadjustmentobservableincapitalflowvolumes(Chari,StedmanandLundblad,2021).Incontrast,infixedexchangerateregimes,managedfloats,oreveninsomedejureflexibleexchangerateregimes,centralbanksusepolicyinterventionssuchasdomesticinterestratechangesandofficialforeignexchangeinterventionstoreducetherealizedexchangerateresponsetoglobalfactors(Ghosh,OstryandQureshi,2018).1Insuchcases,capitalflowpressuresmayshowupinforeignexchangeinterventionsorinpolicyratechangesratherthaninexchangerates.Accordingly,viewingcapitalflowresponsestoglobalfactorsseparatelyfromtheexchangerateorpolicyresponsewillprovideanincompletepictureoftheactualcapitalflowpressuresatplay. 1Gagnon(2016)nicelysummarizestheskepticalhistoricalperspectiveoneffectiveness,startingwiththetimeofthePlazaAccordinthe1980s,beforepresentingrecentevidencethatforeignexchangeinterventioncanbeausefultooltocountermarket-drivenimbalances.Otherrecentevidencepointstoforeignexchangeinterventionhavingahighersuccessratethanpreviouslyarguedonthebasisofarangeofcriteria(Adl