期刊
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
卷 77, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.intfin.2021.101500
关键词
Global financial conditions; Capital flows; Emerging market economies; Exchange rate regimes; Covered interest rate parity
资金
- National Social Science Foundation of China [19AJY028, 20ZDA053]
- National Natural Science Foundation of China [71850009, 71903191]
- Fundamental Research Funds for the Central Universities, China
- Research Funds of Renmin University of China [21XNH005]
- fund for building world-class universities (disciplines) of Renmin University of China [KYGJC2021002]
- China Scholarship Council [202006360099]
This study is important for understanding the impact of exchange rate regimes on private capital flows under global financial conditions. The findings show that flexible exchange rate regimes can stabilize capital flows when global risk aversion is low, but fail to do so when global risk aversion is high.
We examine if the sensitivity of private capital flows to global financial conditions varies across exchange rate regimes by focusing on 43 emerging market economies. We find that the flexible exchange rate regime stabilizes capital flows when the global risk aversion is low, particularly for gross liability flows; however, it fails to play such a role when the global risk aversion is high. We also show that larger covered interest parity deviations would amplify the impact of global risk aversion, which explains the failure of flexible exchange rate regimes during high global risk aversion periods.
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