The effectiveness of macroprudential policies in managing extreme capital flow episodes

IF 1.6 4区经济学 Q2 ECONOMICS

SOUTH AFRICAN JOURNAL OF ECONOMICS Pub Date : 2024-02-05 DOI:10.1111/saje.12371

David de Villiers, Hylton Hollander, Dawie van Lill

引用次数: 0

Abstract

Against the backdrop of a proliferation of policy tools in recent years, there is ongoing policy uncertainty surrounding the suitability of capital flow management in mitigating systemic risk and financial disruptions. We study the effectiveness of macroprudential policies in managing extreme capital flow episodes (surges, stops, flight, and retrenchment), comparing them to capital controls and foreign exchange interventions. Using propensity score matching, based on a panel of 54 countries spanning 1990Q1 to 2020Q3, we find that macroprudential policy can reduce the likelihood of extreme capital flow episodes at least as effectively as capital controls or foreign exchange interventions. Their relative effectiveness, however, varies considerably across type of instrument, proliferation of tools, country income-development level, and type of extreme capital flow episode.

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宏观审慎政策在管理极端资本流动事件中的有效性

在近年来政策工具激增的背景下，围绕资本流动管理在缓解系统性风险和金融动荡方面的适用性，政策上一直存在不确定性。我们研究了宏观审慎政策在管理极端资本流动事件（激增、停止、外逃和缩减）方面的有效性，并将其与资本管制和外汇干预进行了比较。基于 1990Q1 至 2020Q3 期间 54 个国家的面板数据，利用倾向得分匹配法，我们发现宏观审慎政策至少能像资本管制或外汇干预一样有效地降低极端资本流动事件发生的可能性。然而，在工具类型、工具扩散、国家收入-发展水平和极端资本流动事件类型不同的情况下，宏观审慎政策的相对有效性也大不相同。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

SOUTH AFRICAN JOURNAL OF ECONOMICS ECONOMICS-

CiteScore

2.70

自引率

0.00%

发文量

期刊介绍： The South African Journal of Economics (SAJE) has a long and distinguished history, ranking amongst the oldest generalist journals in economics. In terms of editorial focus, the journal remains a generalist journal covering all fields in economics, but with a particular focus on developmental and African contexts. Toward this end, the editorial policy of the SAJE emphasizes scholarly work on developing countries, with African and Southern African development challenges receiving particular attention. While the SAJE remains a generalist journal, it encourages empirical work on developing and African economies. Importantly the focus is on both theoretical developments and methodological innovations that reflect developing country and African contexts and the policy challenges they pose. The objective of the journal is to be the premier vehicle for the publication of the most innovative work on development country and particularly African economic problems. It aims to be the target journal of choice not only for scholars located in Southern Africa, but of any scholar interested in the analysis of development challenges and their African applications. Clear theoretical foundations to work published should be a hallmark of the journal, and innovation in both theory and empirics appropriate to developing country and the African contexts are encouraged. In terms of submissions, the journal invites submissions primarily of original research articles, as well as survey articles and book reviews relevant to its context. In the case of both survey articles and book reviews, authors should note that a key minimum requirement is a critical reflection on the broader context of the existing literature.