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Capital Flows at Risk: Taming the Ebbs and Flows

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Listed:
  • Mr. Gaston Gelos
  • Lucyna Gornicka
  • Mr. Robin Koepke
  • Ms. Ratna Sahay
  • Ms. Silvia Sgherri
Abstract
The volatility of capital flows to emerging markets continues to pose challenges to policymakers. In this paper, we propose a new framework to answer critical policy questions: What policies and policy frameworks are most effective in dampening sharp capital flow movements in response to global shocks? What are the near- versus medium-term trade-offs of different policies? We tackle these questions using a quantile regression framework to predict the entire future probability distribution of capital flows to emerging markets, based on current domestic structural characteristics, policies, and global financial conditions. This new approach allows policymakers to quantify capital flows risks and evaluate policy tools to mitigate them, thus building the foundation of a risk management framework for capital flows.

Suggested Citation

  • Mr. Gaston Gelos & Lucyna Gornicka & Mr. Robin Koepke & Ms. Ratna Sahay & Ms. Silvia Sgherri, 2019. "Capital Flows at Risk: Taming the Ebbs and Flows," IMF Working Papers 2019/279, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2019/279
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    More about this item

    Keywords

    WP; portfolio inflow; portfolio; capital flow; Capital flows; macroprudential policies; foreign-exchange intervention; capital controls; emerging markets; flow risk; Bbb yield; capital flow volatility; flows data; FX intervention; capital flows data; capital flow measure; risks to capital flow; flows to emerging markets; capital flow risk; capital withdrawal; Exchange rate arrangements; Capital flow management; Emerging and frontier financial markets; Global;
    All these keywords.

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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