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Gurnain Kaur Pasricha - One of the best experts on this subject based on the ideXlab platform.
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why do emerging markets liberalize Capital outFlow controls fiscal versus net Capital Flow concerns
Journal of International Money and Finance, 2013Co-Authors: Joshua Aizenman, Gurnain Kaur PasrichaAbstract:In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their Capital outFlow controls in the recent decades. Liberalization of Capital outFlow controls can allow emerging market economies (EMEs) to reduce net Capital inFlow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates. Our results indicate that external repression revenues in EMEs declined substantially in the 2000's compared with the 1980's. In line with this decline in external repression revenues and their growth accelerations in 2000's, concerns related to net Capital inFlows took predominance over fiscal concerns in the decisions to liberalize Capital outFlow controls. Emerging markets facing high volatility in net Capital inFlows and higher short-term balance sheet exposures liberalized outFlows less. Countries eased outFlows more in response to higher stock price appreciation, higher appreciation pressures in the exchange market and higher real exchange rate volatility. Non-IT monetary policy regimes also liberalized outFlows more in response to greater reserves accumulation and higher NKI.
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why do emerging markets liberalize Capital outFlow controls fiscal versus net Capital Flow concerns
National Bureau of Economic Research, 2013Co-Authors: Joshua Aizenman, Gurnain Kaur PasrichaAbstract:In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their Capital outFlow controls in the recent decades. Liberalization of Capital outFlow controls can allow emerging market economies (EMEs) to reduce net Capital inFlow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates. Our results indicate that external repression revenues in EMEs declined substantially in the 2000's compared with the 1980's. In line with this decline in external repression revenues and their growth accelerations in 2000's, concerns related to net Capital inFlows took predominance over fiscal concerns in the decisions to liberalize Capital outFlow controls. Emerging markets facing high volatility in net Capital inFlows and higher balance sheet exposures liberalized outFlows less. Countries eased outFlows more in response to higher net Capital inFlows, higher appreciation pressures in the exchange market, higher real exchange rate volatility and greater accumulation of reserves.
Xi-ping Wang - One of the best experts on this subject based on the ideXlab platform.
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Analysis of the risk of Capital Flow based on fuzzy comprehensive evaluation
2009 International Conference on Machine Learning and Cybernetics, 2009Co-Authors: Xi-ping WangAbstract:Under the opening economic circumstances, evaluating the risk of cross-border Capital Flow has special significance. For effectively evaluating the risk associated with Capital Flow, a new evaluation index system of risk is created on the basis of fourteen influencing factors. The analytic hierarchy process is used to determine the weights of indexes and four-grade risk comment set is adopted. Using fuzzy synthetic judgment method, the assessment model is built. Giving the year of 2000 as an example to explain the process the result indicates that this method is acceptable.
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Application of Support Vector Machine to Capital Flow Risks Prediction
2009 International Symposium on Intelligent Ubiquitous Computing and Education, 2009Co-Authors: Xi-ping WangAbstract:Under the opening economic circumstances, forecasting the risks of Capital Flow has special significance. For effectively early warning the risks associated with Capital Flow, this study applies support vector machine (SVM) to the domain of Capital Flow in an attempt to suggest a new model with better explanatory power and stability. To serve this purpose, a grid-search technique using 5-fold cross-validation is used to find out the best parameter value of kernel function of SVM. In addition, to evaluate the prediction accuracy of SVM, this study compares its performance with that of three-layer fully connected back-propagation neural networks (BPNs). The experiment results show that SVM outperforms the BPNs.
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Application of Artificial Neural Network to Predict Short-Term Capital Flow
2009 International Conference on Research Challenges in Computer Science, 2009Co-Authors: Xi-ping WangAbstract:The last decade witnessed a significant increase in net private Capital inFlows in China. Some of them are short-term Capital Flows, which are typically considered to be highly volatile. For effectively forecasting the short-term Capital Flows, a three-layered neural feedforward network was employed in this paper. In light of the weakness of the conventional Back-Propagation algorithm, the Levenberg-Marquardt algorithm was used to train the neural network. The simulation results indicate that the predictive model can be used to carry out the prediction of short-term Capital Flow.
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Predicting risks of Capital Flow using artificial neural network and Levenberg Marquardt algorithm
2008 International Conference on Machine Learning and Cybernetics, 2008Co-Authors: Xi-ping Wang, Yuan-sheng HuangAbstract:Under the opening economic circumstances, forecasting the risks of Capital Flow has special significance. For effectively early warning the risks associated with Capital Flow, a new evaluation index system of risks was created on the basis of thirteen influencing variables. Then a three-layered neural feedforward network was employed to predict the risks of Capital Flow. The Levenberg-Marquardt algorithm was used to train the neural network. The simulation results indicate that the predictive model can be used to carry out the early warning of Capital Flow risks.
Kristin J. Forbes - One of the best experts on this subject based on the ideXlab platform.
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Debt-and Equity-Led Capital Flow Episodes
2020Co-Authors: Kristin J. Forbes, Francis E. WarnockAbstract:Forbes and Warnock (2012) identify episodes of extreme Capital Flow movements--surges, stops, flight, and retrenchment--and find that global factors, especially global risk, are significantly associated with extreme Capital Flow episodes whereas domestic macroeconomic characteristics and Capital controls are less important. That analysis leads naturally to the question of which types of Capital Flows are driving the episodes and if debt- and equity-led episodes differ in material ways. After identifying debt- and equity-led episodes, we find that most episodes of extreme Capital Flow movements around the world are debt-led and the factors associated with debt-led episodes are similar to the factors behind episodes identified with aggregate Capital Flow data. In contrast, equity-led episodes are less frequent, more idiosyncratic, and differ in nature from other episodes.(This abstract was borrowed from another version of this item.)
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do sounder banks make calmer waters the link between bank regulations and Capital Flow waves
AEA Papers and Proceedings, 2020Co-Authors: Kristin J. ForbesAbstract:This paper tests if prudential and macroprudential regulations have meaningfully reduced the incidence of Capital Flow "waves," that is, of sudden stops and surges of Capital Flows from abroad. The results support other work documenting changes since 2008 in how global factors affect Capital Flows but provide mixed evidence on how regulations have affected the incidence of sharp Capital Flow movements. Regulations that strengthen banks (such as higher Capital-asset ratios) meaningfully reduce the incidence of surges, but tighter macroprudential regulations appear to have done little to reduce the incidence of Capital Flow waves—and are even correlated with an increased risk of sudden stops. This may reflect their limited use to date, or how they interact with different types of Capital Flows. Macroprudential regulations may have reduced the volume and volatility of bank Flows but shifted financial intermediation outside the regulated sector and thereby increased the volatility of debt and equity Flows. These reforms could still provide important benefits, however, in terms of building the resilience of banks and thereby mitigating the negative effects of Capital Flow waves on the broader economy. Even if the waters are not much calmer, the waves should do less damage.
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Capital Flow Waves—or Ripples? Extreme Capital Flow Movements Since the Crisis
National Bureau of Economic Research, 2020Co-Authors: Kristin J. Forbes, Francis E. WarnockAbstract:Has the occurrence of “extreme Capital Flow movements”—episodes of sudden surges, stops, flight and retrenchment—changed since the Global Financial Crisis (GFC)? This paper addresses this question by updating and building on the dataset and methodology introduced in Forbes and Warnock (2012) to calculate the occurrence of sharp Capital Flow movements by foreigners and domestics into and out of individual countries. The results suggest that the occurrence of these extreme Capital Flow movements has not increased since the GFC. The drivers of these episodes, however, appear to have changed since the GFC. Extreme Capital Flow movements are less correlated with changes in global risk, and are more difficult to explain with basic global, regional and domestic variables. What used to be large global “waves” in international Capital Flows have more recently become idiosyncratic “ripples”.
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Capital Flow management measures what are they good for
National Bureau of Economic Research, 2014Co-Authors: Kristin J. Forbes, Marcel Fratzscher, Roland StraubAbstract:Are Capital controls and macroprudential measures related to international exposures successful in achieving their objectives? Assessing their effectiveness is complicated by selection bias; countries which change their Capital-Flow management measures (CFMs) often share specific characteristics and are responding to changes in variables that the CFMs are intended to influence. This paper addresses these challenges by using a propensity-score matching methodology. We also create a new database with detailed information on weekly changes in controls on Capital inFlows, Capital outFlows, and macroprudential measures related to international transactions from 2009 to 2011 for 60 countries. Results show that these macroprudential measures can significantly reduce some measures of financial fragility. Most CFMs do not significantly affect other key targets, however, such as exchange rates, Capital Flows, interest-rate differentials, inflation, equity indices, and different volatilities. One exception is that removing controls on Capital outFlows may reduce real exchange rate appreciation. Therefore, certain CFMs can be effective in accomplishing specific goals—but most popular measures are not “good for” accomplishing their stated aims
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Capital Flow volatility and contagion a focus on asia
2012Co-Authors: Kristin J. ForbesAbstract:This paper documents four trends in Asia: (1) the increase in the magnitude of gross Capital inFlows and outFlows; (2) the larger magnitude of gross Capital inFlows relative to outFlows in some countries; (3) the increase in the volatility of these Capital Flows; and (4) the steady increase in the comovement between equity markets over time. It then uses results from recent academic research to evaluate ways in which Asian economies can best mitigate risks from large and volatile Capital Flows. The analysis suggests that the best approach involves attention to the form of these Capital Flows and strengthening the domestic financial system rather than directly reducing total Capital Flows. For example, supporting Capital Flows in the form of equity, instead of debt, provides natural risk sharing and reduces domestic vulnerabilities. Supporting outward Capital Flows by domestic investors can provide an important form of stability, as domestic investors often “retrench” and bring money invested abroad home during periods of heightened risk. Finally, one of the most potent methods to stabilize economies against Capital Flow volatility is to reduce leverage in domestic banking systems. Recent increases in leverage in Asian banking systems suggest that this could be a source of increased vulnerability in the future.
Joshua Aizenman - One of the best experts on this subject based on the ideXlab platform.
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why do emerging markets liberalize Capital outFlow controls fiscal versus net Capital Flow concerns
Journal of International Money and Finance, 2013Co-Authors: Joshua Aizenman, Gurnain Kaur PasrichaAbstract:In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their Capital outFlow controls in the recent decades. Liberalization of Capital outFlow controls can allow emerging market economies (EMEs) to reduce net Capital inFlow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates. Our results indicate that external repression revenues in EMEs declined substantially in the 2000's compared with the 1980's. In line with this decline in external repression revenues and their growth accelerations in 2000's, concerns related to net Capital inFlows took predominance over fiscal concerns in the decisions to liberalize Capital outFlow controls. Emerging markets facing high volatility in net Capital inFlows and higher short-term balance sheet exposures liberalized outFlows less. Countries eased outFlows more in response to higher stock price appreciation, higher appreciation pressures in the exchange market and higher real exchange rate volatility. Non-IT monetary policy regimes also liberalized outFlows more in response to greater reserves accumulation and higher NKI.
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why do emerging markets liberalize Capital outFlow controls fiscal versus net Capital Flow concerns
National Bureau of Economic Research, 2013Co-Authors: Joshua Aizenman, Gurnain Kaur PasrichaAbstract:In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their Capital outFlow controls in the recent decades. Liberalization of Capital outFlow controls can allow emerging market economies (EMEs) to reduce net Capital inFlow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates. Our results indicate that external repression revenues in EMEs declined substantially in the 2000's compared with the 1980's. In line with this decline in external repression revenues and their growth accelerations in 2000's, concerns related to net Capital inFlows took predominance over fiscal concerns in the decisions to liberalize Capital outFlow controls. Emerging markets facing high volatility in net Capital inFlows and higher balance sheet exposures liberalized outFlows less. Countries eased outFlows more in response to higher net Capital inFlows, higher appreciation pressures in the exchange market, higher real exchange rate volatility and greater accumulation of reserves.
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Capital Flow types external financing needs and industrial growth 99 countries 1991 2007
National Bureau of Economic Research, 2011Co-Authors: Joshua Aizenman, Vladyslav SushkoAbstract:We examine the differential impact of portfolio debt, portfolio equity, and FDI inFlows on 37 manufacturing industries, 99 countries, 1991-2007, extending Rajan-Zingales (1998). We utilize external finance dependence measures in a series of cross-sectional regressions of manufacturing industries' growth rates covering 17 years. Net portfolio debt inFlows are negatively associated with growth during the mid 1990s. The magnitudes of the negative effect of surges in portfolio debt inFlows on growth are substantial in the late 1990s for a number of countries. The effect of debt inFlows on growth in the 2000s is rather muted. Surges in portfolio equity inFlows also exhibit a negative association with aggregate growth in the manufacturing sector. For instance, the inFlow surge during the financial liberalization period, 1993-1994, is associated with a sharp decline in aggregate manufacturing sector growth, but a rise in the growth of relatively more financially constrained industries. Equity inFlows exhibited economically significant positive impact on the growth of financially constrained industries, unlike their negative impact on the average manufacturing growth rate. FDI inFlows exhibit a positive association with aggregate manufacturing growth during most of the sample period, both at the aggregate level and specifically for the industries in need of external financing.
Francis E. Warnock - One of the best experts on this subject based on the ideXlab platform.
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Debt-and Equity-Led Capital Flow Episodes
2020Co-Authors: Kristin J. Forbes, Francis E. WarnockAbstract:Forbes and Warnock (2012) identify episodes of extreme Capital Flow movements--surges, stops, flight, and retrenchment--and find that global factors, especially global risk, are significantly associated with extreme Capital Flow episodes whereas domestic macroeconomic characteristics and Capital controls are less important. That analysis leads naturally to the question of which types of Capital Flows are driving the episodes and if debt- and equity-led episodes differ in material ways. After identifying debt- and equity-led episodes, we find that most episodes of extreme Capital Flow movements around the world are debt-led and the factors associated with debt-led episodes are similar to the factors behind episodes identified with aggregate Capital Flow data. In contrast, equity-led episodes are less frequent, more idiosyncratic, and differ in nature from other episodes.(This abstract was borrowed from another version of this item.)
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Capital Flow Waves—or Ripples? Extreme Capital Flow Movements Since the Crisis
National Bureau of Economic Research, 2020Co-Authors: Kristin J. Forbes, Francis E. WarnockAbstract:Has the occurrence of “extreme Capital Flow movements”—episodes of sudden surges, stops, flight and retrenchment—changed since the Global Financial Crisis (GFC)? This paper addresses this question by updating and building on the dataset and methodology introduced in Forbes and Warnock (2012) to calculate the occurrence of sharp Capital Flow movements by foreigners and domestics into and out of individual countries. The results suggest that the occurrence of these extreme Capital Flow movements has not increased since the GFC. The drivers of these episodes, however, appear to have changed since the GFC. Extreme Capital Flow movements are less correlated with changes in global risk, and are more difficult to explain with basic global, regional and domestic variables. What used to be large global “waves” in international Capital Flows have more recently become idiosyncratic “ripples”.
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Capital Flow waves surges stops flight and retrenchment
Journal of International Economics, 2012Co-Authors: Kristin J. Forbes, Francis E. WarnockAbstract:This paper analyzes waves in international Capital Flows. We develop a new methodology for identifying episodes of extreme Capital Flow movements using data that differentiates activity by foreigners and domestics. We identify episodes of “surges” and “stops” (sharp increases and decreases, respectively, of gross inFlows) and “flight” and “retrenchment” (sharp increases and decreases, respectively, of gross outFlows). Our approach yields fundamentally different results than the previous literature that used measures of net Flows. Global factors, especially global risk, are significantly associated with extreme Capital Flow episodes. Contagion, whether through trade, banking, or geography, is also associated with stop and retrenchment episodes. Domestic macroeconomic characteristics are generally less important, and we find little association between Capital controls and the probability of having surges or stops driven by foreign Capital Flows. The results provide insights for different theoretical approaches explaining crises and Capital Flow volatility.
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debt and equity led Capital Flow episodes
National Bureau of Economic Research, 2012Co-Authors: Kristin J. Forbes, Francis E. WarnockAbstract:Forbes and Warnock (2012) identify episodes of extreme Capital Flow movements--surges, stops, flight, and retrenchment--and find that global factors, especially global risk, are significantly associated with extreme Capital Flow episodes whereas domestic macroeconomic characteristics and Capital controls are less important. That analysis leads naturally to the question of which types of Capital Flows are driving the episodes and if debt- and equity-led episodes differ in material ways. After identifying debt- and equity-led episodes, we find that most episodes of extreme Capital Flow movements around the world are debt-led and the factors associated with debt-led episodes are similar to the factors behind episodes identified with aggregate Capital Flow data. In contrast, equity-led episodes are less frequent, more idiosyncratic, and differ in nature from other episodes.
