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Do China's Capital Controls Still Bind? Implications for Monetary Autonomy and Capital Liberalisation

Ma, Guonan; McCauley, Robert N. - 2013

The paper argues that China's capital controls remain substantially binding. This has allowed the Chinese authorities to retain some degree of short-term monetary autonomy, despite the fixed exchange rate up to July 2005. Although the Chinese capital controls have not been watertight, we find...

Persistent link: https://www.econbiz.de/10014224179

FX dealer constraints and external imbalances

Boer, Jantke de; Eichler, Stefan - 2024

We empirically test Gabaix and Maggiori (2015)’s prediction that currencies are repriced by the country’s external capital dependence when financial constraints of FX intermediaries change. Using solvency indicators, we develop a novel intermediary constraints index capturing riskbearing...

Persistent link: https://www.econbiz.de/10015211360

International portfolio flows and exchange rate volatility for emerging markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...

Persistent link: https://www.econbiz.de/10011382694

International portfolio flows and exchange rate volatility for emerging markets

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Fabio - 2015

This paper investigates the effects of equity and bond portfolio in.ows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...

Persistent link: https://www.econbiz.de/10011387464

Linking net foreign portfolio debt and equity to exchange rate movements

Gardberg, Malin - 2018

Many currencies, especially those of countries with negative net foreign assets, tend to depreciate during times of financial turbulence. Using a panel of 26 currencies over the period 1/1997 - 6/2016, I show that the composition of net foreign assets matter for the exchange rate sensitivity to...

Persistent link: https://www.econbiz.de/10011926196

Real Financial Market Exchange Rates and Capital Flows

Gelman, Maria - 2016

Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...

Persistent link: https://www.econbiz.de/10012988647

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

Caporale, Guglielmo Maria - 2015

Persistent link: https://www.econbiz.de/10013011750

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

Caporale, Guglielmo Maria - 2015

Persistent link: https://www.econbiz.de/10013009868

Liquidity Commonality During the Financial Crisis : Effects of News Announcements

Chang, Ya-Ting - 2016

This paper investigate whether the effects of U.S. news announcements has influence on liquidity commonality during … financial crisis periods. We construct a market-wide liquidity risk in the foreign exchange market by using Generalized Dynamic … Factor Model (GDFM) model. We show that strong commonality in liquidity are associated with major crisis events. Our analysis …

Persistent link: https://www.econbiz.de/10012999240

When Do Commodity Prices Matter for the Carry Trade? The Role of FX Liquidity

Jeanneret, Alexandre - 2019

contemporaneously explain and predict carry trade returns but only when currency market liquidity is low. Our findings are consistent … traders to unwind their positions, thereby exacerbating the downward price pressure during liquidity dry-outs. This sheds new …

Persistent link: https://www.econbiz.de/10012871608