Sudden Stops and Asset Purchase Programmes in the Euro Area
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Sudden Stops and Asset Purchase Programmes in the Euro Area
Fabiani, Josefina | Fidora, Michael | Setzer, Ralph | Westphal, Andreas | Zorell, Nico
Credit and Capital Markets – Kredit und Kapital, Vol. 54 (2021), Iss. 3 : pp. 375–421
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Josefina Fabiani, The University of Manchester.
Michael Fidora, European Central Bank.
Ralph Setzer, European Central Bank.
Andreas Westphal, European Central Bank.
Nico Zorell, European Central Bank.
References
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Afonso, A./Arghyrou, M. G./Gadea, M. D./Kontonikas, A. (2018): “Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. Journal of International Money and Finance, Vol. 86(C), 1–30.
Google Scholar -
Alcidi, C./Capolongo, A./Gros, D./Musmeci, R./Jahn, M. (2020): Developments in EU Capital Flows in the Global Context. Technical report, European Commission.
Google Scholar -
Altavilla, C./Carboni, G./Motto, R. (2015): Asset purchase programmes and financial markets: lessons from the euro area. ECB Working Paper 1864, European Central Bank.
Google Scholar -
Andrade, P./Breckenfelder, J./De Fiore, F./Karadi, P./Tristani, O. (2016): The ECB’s asset purchase programme: an early assessment. ECB Working Paper 1956, European Central Bank.
Google Scholar -
Bandaogo, M. S./Chen, Y. (2020): Duration of sudden stop spells: a hazard model approach. Review of International Economics, Vol. 28(1), 105–118.
Google Scholar -
Beck, R./Fidora, M. (2008): The impact of sovereign wealth funds on global financial markets. Review of European Economic Policy, Vol. 43(6), 349–358.
Google Scholar -
Belke, A./Volz, U. (2018): Capital flows to emerging market and developing economies: global liquidity and uncertainty versus country-specific pull factors. Working Paper 23/2018, Deutsches Institut für Entwicklungspolitik.
Google Scholar -
Bergant, K./Fidora, M./Schmitz, M. (2020): International capital flows at the security level: evidence from the ECB’s asset purchase programme. IMF Working Paper 2020/046, International Monetary Fund.
Google Scholar -
Bindseil, U./König, P. J. (2012): TARGET2 and the European sovereign debt crisis. Credit and Capital Markets, Vol. 45(2), 135–174.
Google Scholar -
Bordo, M. D./Cavallo, A. F./Meissner, C. M. (2010): Sudden stops: determinants and output effects in the first era of globalization, 1880-1913. Journal of Development Economics, Vol. 91(2), 227–241.
Google Scholar -
Broner, F./Didier, T./Erce, A./Schmukler, S. L. (2013): Gross capital flows: dynamics and crises. Journal of Monetary Economics, Vol. 60, 113–133.
Google Scholar -
Bussiere, M./Fratzscher, M. (2002): Towards a new early warning system of financial crises. ECB Working Paper 145, European Central Bank.
Google Scholar -
Calderon, C./Kubota, M. (2013): Sudden stops: are global and local investors alike? Journal of International Economics, Vol. 89(1), 122–142.
Google Scholar -
Calvo, G. A./Izquierdo, A./Mejia, L.-F. (2008): Systemic sudden stops: the relevance of balance-sheet effects and financial integration. NBER Working Paper 14026, National Bureau of Economic Research.
Google Scholar -
Calvo, G./Reinhart, C. (2000): When capital inflows suddenly stop: consequences and policy options. In Reforming the international monetary and financial system. International Monetary Fund.
Google Scholar -
Cavallo, E. A./Frankel, J. A. (2008): Does openness to trade make countries more vulnerable to sudden stops, or less? Using gravity to establish causality. Journal of International Money and Finance, Vol. 27(8), 1430–1452.
Google Scholar -
Cavallo, E./Powell, A./Pedemonte, M./Tavella, P. (2015): A new taxonomy of sudden stops: which sudden stops should countries be most concerned about? Journal of International Money and Finance, Vol. 51, 47–70.
Google Scholar -
Chari, A./Stedman, K. D./Lundblad, C. (2017): Taper tantrums: QE, its aftermath and emerging market capital flows. NBER Working Paper 23474, National Bureau of Economic Research.
Google Scholar -
Chhaochharia, V./Laeven, L. (2008): Sovereign wealth funds: their investment strategies and performance. CEPR Discussion Paper 6959, Centre for Economic Policy Research.
Google Scholar -
Chinn, M. D./Ito, H. (2006): What matters for financial development? Capital controls, institutions, and interactions. Journal of Development Economics, Vol. 81(1), 163–192.
Google Scholar -
Cœuré, B. (2017): The international dimension of the ECB’s asset purchase programme. Speech at the Foreign Exchange Contact Group meeting, 11 July 2017.
Google Scholar -
David, A./Gonçalves, C. E. (2019): In search of lost time: examining the duration of sudden stops in capital flows. IMF Working Paper 2019/230, International Monetary Fund.
Google Scholar -
Davis, J. S./Valente, G./Van Wincoop, E. (2021): Global drivers of gross and net capital flows. Journal of International Economics, 128.
Google Scholar -
De Santis, R. A. (2020): Impact of the asset purchase programme on euro area government bond yields using market news. Economic Modelling, Vol. 86(C), 192–209.
Google Scholar -
Edwards, S. (2004): Financial openness, sudden stops, and current-account reversals. American Economic Review, Vol. 94(2), 59–64.
Google Scholar -
Edwards, S. (2007): Capital controls, capital flow contractions, and macroeconomic vulnerability. Journal of International Money and Finance, Vol. 26(5), 814–840.
Google Scholar -
Eichengreen, B./Gupta, P. (2018): Managing sudden stops. In Mendoza, E. G./Pastén, E./Saravia, D. (eds.), Monetary policy and global spillovers: mechanisms, effects and policy measures, volume 25 of Central Banking, Analysis, and Economic Policies Book Series, chapter 2, 009-047. Central Bank of Chile.
Google Scholar -
Eisenschmidt, J./Kedan, D./Schmitz, M./Adalid, R./Papsdorf, P. (2017): The Eurosystem’s asset purchase programme and TARGET balances. ECB Occasional Paper 196, European Central Bank.
Google Scholar -
Fagan, G./McNelis, P. D. (2020): Sudden stops in the euro area: does Monetary Union matter? Journal of International Money and Finance, Vol. 108, 102–163.
Google Scholar -
Forbes, K. J./Warnock, F. E. (2012): Capital flow waves: surges, stops, flight, and retrenchment. Journal of International Economics, Vol. 88(2), 235–251.
Google Scholar -
Forbes, K. J./Warnock, F. E. (2021): Capital flow waves – or ripples? Extreme capital flow movements since the crisis. Journal of International Money and Finance, Vol. 116, 102394.
Google Scholar -
Ghosh, A. R./Ostry, J. D./Qureshi, M. S. (2018): Taming the tide of capital flows: a policy guide. MIT Press Books. The MIT Press.
Google Scholar -
Ghosh, A. R./Qureshi, M. S./Kim, J. I./Zalduendo, J. (2014): Surges. Journal of International Economics, Vol. 92(2), 266–285.
Google Scholar -
Gros, D./Alcidi, C. (2015): Country adjustment to a ‘sudden stop’: does the euro make a difference? International Economics and Economic Policy, Vol. 12(1), 5–20.
Google Scholar -
Ilzetzki, E./Reinhart, C. M./Rogoff, K. S. (2019): Exchange arrangements entering the twenty-first century: which anchor will hold? Quarterly Journal of Economics, Vol. 134(2), 599–646.
Google Scholar -
International Monetary Fund (2012). The liberalization and management of capital flows: an institutional view. Policy Paper 196, International Monetary Fund.
Google Scholar -
Jevcak, A./Setzer, R./Suardi, M. (2010): Determinants of capital Flows to the new EU Member States before and during the financial crisis. Economic Papers 425, European Commission.
Google Scholar -
Krishnamurthy, A./Vissing-Jorgensen, A. (2011): The effects of quantitative easing on interest rates: channels and implications for policy. Brookings Papers on Economic Activity, Vol. 42(2 (Fall), 215–287.
Google Scholar -
Krugman, P. (2014): Currency regimes, capital flows, and crises. IMF Economic Review, Vol. 62(4), 470–493.
Google Scholar -
Lane, P. R. (2013): Capital flows in the euro area. CEPR Discussion Paper 9493, Centre for Economic Policy Research.
Google Scholar -
Lane, P. R./McQuade, P. (2014): Domestic credit growth and international capital flows. Scandinavian Journal of Economics, Vol. 116(1), 218–252.
Google Scholar -
Lane, P. R./Milesi-Ferretti, G. M. (1999): The external wealth of nations: measures of foreign assets and liabilities for industrial and developing countries. CEPR Discussion Paper 2231, Centre for Economic Policy Research.
Google Scholar -
Lane, P. R./Milesi-Ferretti, G. M. (2007): The external wealth of nations mark ii: revised and extended estimates of foreign assets and liabilities, 1970–2004. Journal of International Economics, 73.
Google Scholar -
Lane, P. R./Milesi-Ferretti, G. M. (2012): External adjustment and the global crisis. Journal of International Economics, Vol. 88(2), 252–265.
Google Scholar -
Lane, P. R./Pels, B. (2012): Current account imbalances in Europe. CEPR Discussion Paper 8958, Centre for Economic Policy Research.
Google Scholar -
Lu, Y./Wang, Y. (2019): Determinants of currency composition of reserves: a portfolio theory approach with an application to RMB. IMF Working Paper 2019/052, International Monetary Fund.
Google Scholar -
Martin, R./Schuknecht, L./Vansteenkiste, I. (2007): The role of the exchange rate for adjustment in boom and bust episodes. ECB Working Paper 813, European Central Bank.
Google Scholar -
Merler, S./Pisani-Ferry, J. (2012): Sudden stops in the euro area. Policy Contributions 718, Bruegel.
Google Scholar -
Milesi-Ferretti, G. M./Razin, A. (1998): Sharp reductions in current account deficits: an empirical analysis. European Economic Review, Vol. 42(3-5), 897–908.
Google Scholar -
Moessner, R. (2018): Effects of asset purchases and financial stability measures on term premia in the euro area. Applied Economics, Vol. 50(43), 4617–4631.
Google Scholar -
Neely, C. J. (2015): Unconventional monetary policy had large international effects. Journal of Banking & Finance, Vol. 52(C), 101–111.
Google Scholar -
Neri, S./Siviero, S. (2018): The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks. Credit and Capital Markets, Vol. 51(4), 513–560.
Google Scholar -
Schnabl, G. (2021): Macroeconomic policy making and current account imbalances in the Euro Area. Credit and Capital Markets.
Google Scholar -
Afonso, A./Arghyrou, M. G./Gadea, M. D./Kontonikas, A. (2018): “Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. Journal of International Money and Finance, Vol. 86(C), 1–30.
Google Scholar -
Alcidi, C./Capolongo, A./Gros, D./Musmeci, R./Jahn, M. (2020): Developments in EU Capital Flows in the Global Context. Technical report, European Commission.
Google Scholar -
Altavilla, C./Carboni, G./Motto, R. (2015): Asset purchase programmes and financial markets: lessons from the euro area. ECB Working Paper 1864, European Central Bank.
Google Scholar -
Andrade, P./Breckenfelder, J./De Fiore, F./Karadi, P./Tristani, O. (2016): The ECB’s asset purchase programme: an early assessment. ECB Working Paper 1956, European Central Bank.
Google Scholar -
Bandaogo, M. S./Chen, Y. (2020): Duration of sudden stop spells: a hazard model approach. Review of International Economics, Vol. 28(1), 105–118.
Google Scholar -
Beck, R./Fidora, M. (2008): The impact of sovereign wealth funds on global financial markets. Review of European Economic Policy, Vol. 43(6), 349–358.
Google Scholar -
Belke, A./Volz, U. (2018): Capital flows to emerging market and developing economies: global liquidity and uncertainty versus country-specific pull factors. Working Paper 23/2018, Deutsches Institut für Entwicklungspolitik.
Google Scholar -
Bergant, K./Fidora, M./Schmitz, M. (2020): International capital flows at the security level: evidence from the ECB’s asset purchase programme. IMF Working Paper 2020/046, International Monetary Fund.
Google Scholar -
Bindseil, U./König, P. J. (2012): TARGET2 and the European sovereign debt crisis. Credit and Capital Markets, Vol. 45(2), 135–174.
Google Scholar -
Bordo, M. D./Cavallo, A. F./Meissner, C. M. (2010): Sudden stops: determinants and output effects in the first era of globalization, 1880–1913. Journal of Development Economics, Vol. 91(2), 227–241.
Google Scholar -
Broner, F./Didier, T./Erce, A./Schmukler, S. L. (2013): Gross capital flows: dynamics and crises. Journal of Monetary Economics, Vol. 60, 113–133.
Google Scholar -
Bussiere, M./Fratzscher, M. (2002): Towards a new early warning system of financial crises. ECB Working Paper 145, European Central Bank.
Google Scholar -
Calderon, C./Kubota, M. (2013): Sudden stops: are global and local investors alike? Journal of International Economics, Vol. 89(1), 122–142.
Google Scholar -
Calvo, G./Reinhart, C. (2000): When capital inflows suddenly stop: consequences and policy options. In Reforming the international monetary and financial system. International Monetary Fund.
Google Scholar -
Calvo, G. A./Izquierdo, A./Mejia, L.-F. (2008): Systemic sudden stops: the relevance of balance-sheet effects and financial integration. NBER Working Paper 14026, National Bureau of Economic Research.
Google Scholar -
Cavallo, E./Powell, A./Pedemonte, M./Tavella, P. (2015): A new taxonomy of sudden stops: which sudden stops should countries be most concerned about? Journal of International Money and Finance, Vol. 51, 47–70.
Google Scholar -
Cavallo, E. A./Frankel, J. A. (2008): Does openness to trade make countries more vulnerable to sudden stops, or less? Using gravity to establish causality. Journal of International Money and Finance, Vol. 27(8), 1430–1452.
Google Scholar -
Chari, A./Stedman, K. D./Lundblad, C. (2017): Taper tantrums: QE, its aftermath and emerging market capital flows. NBER Working Paper 23474, National Bureau of Economic Research.
Google Scholar -
Chhaochharia, V./Laeven, L. (2008): Sovereign wealth funds: their investment strategies and performance. CEPR Discussion Paper 6959, Centre for Economic Policy Research.
Google Scholar -
Chinn, M. D./Ito, H. (2006): What matters for financial development? Capital controls, institutions, and interactions. Journal of Development Economics, Vol. 81(1), 163–192.
Google Scholar -
Couere, B. (2017). The international dimension of the ECB’s asset purchase programme. Speech at the Foreign Exchange Contact Group meeting, 11 July 2017.
Google Scholar -
David, A./Gonçalves, C. E. (2019): In search of lost time: examining the duration of sudden stops in capital flows. IMF Working Paper 2019/230, International Monetary Fund.
Google Scholar -
Davis, J. S./Valente, G./Van Wincoop, E. (2021). Global drivers of gross and net capital flows. Journal of International Economics, 128.
Google Scholar -
De Santis, R. A. (2020). Impact of the asset purchase programme on euro area government bond yields using market news. Economic Modelling, Vol. 86(C), 192–209.
Google Scholar -
Edwards, S. (2004): Financial openness, sudden stops, and current-account reversals. American Economic Review, Vol. 94(2), 59–64.
Google Scholar -
Edwards, S. (2007). Capital controls, capital flow contractions, and macroeconomic vulnerability. Journal of International Money and Finance, Vol. 26(5), 814–840.
Google Scholar -
Eichengreen, B./Gupta, P. (2018): Managing sudden stops. In Mendoza, E. G./Pastén, E./Saravia, D., editors, Monetary policy and global spillovers: mechanisms, effects and policy measures, volume 25 of Central Banking, Analysis, and Economic Policies Book Series, chapter 2, 009–047. Central Bank of Chile.
Google Scholar -
Eisenschmidt, J./Kedan, D./Schmitz, M./Adalid, R./Papsdorf, P. (2017): The Eurosystem’s asset purchase programme and TARGET balances. ECB Occasional Paper 196, European Central Bank.
Google Scholar -
Fagan, G./McNelis, P. D. (2020): Sudden stops in the euro area: does Monetary Union matter? Journal of International Money and Finance, Vol. 108, 102–163.
Google Scholar -
Forbes, K. J./Warnock, F. E. (2012): Capital flow waves: surges, stops, flight, and retrenchment. Journal of International Economics, Vol. 88(2), 235–251.
Google Scholar -
Forbes, K. J./Warnock, F. E. (2021): Capital flow waves – or ripples? Extreme capital flow movements since the crisis. Journal of International Money and Finance, Vol. 116, 102394.
Google Scholar -
Ghosh, A. R./Ostry, J. D./Qureshi, M. S. (2018): Taming the tide of capital flows: a policy guide. MIT Press Books. The MIT Press.
Google Scholar -
Ghosh, A. R./Qureshi, M. S./Kim, J. I./Zalduendo, J. (2014): Surges. Journal of International Economics, Vol. 92(2), 266–285.
Google Scholar -
Gros, D./Alcidi, C. (2015): Country adjustment to a ‘sudden stop’: does the euro make a difference? International Economics and Economic Policy, Vol. 12(1), 5–20.
Google Scholar -
Ilzetzki, E., Reinhart, C. M., and Rogoff, K. S. (2019). Exchange arrangements entering the twenty-first century: which anchor will hold? Quarterly Journal of Economics, Vol. 134(2), 599–646.
Google Scholar -
International Monetary Fund (2012). The liberalization and management of capital flows: an institutional view. Policy Paper 196, International Monetary Fund.
Google Scholar -
Jevcak, A./Setzer, R./Suardi, M. (2010): Determinants of capital Flows to the new EU Member States before and during the financial crisis. Economic Papers 425, European Commission.
Google Scholar -
Krishnamurthy, A./Vissing-Jorgensen, A. (2011): The effects of quantitative easing on interest rates: channels and implications for policy. Brookings Papers on Economic Activity, Vol. 42(2 (Fall)), 215–287.
Google Scholar -
Krugman, P. (2014): Currency regimes, capital flows, and crises. IMF Economic Review, Vol. 62(4), 470–493.
Google Scholar -
Lane, P. R. (2013): Capital flows in the euro area. CEPR Discussion Paper 9493, Centre for Economic Policy Research.
Google Scholar -
Lane, P. R./McQuade, P. (2014). Domestic credit growth and international capital flows. Scandinavian Journal of Economics, Vol. 116(1), 218–252.
Google Scholar -
Lane, P. R./Milesi-Ferretti, G. M. (1999): The external wealth of nations: measures of foreign assets and liabilities for industrial and developing countries. CEPR Discussion Paper 2231, Centre for Economic Policy Research.
Google Scholar -
Lane, P. R./Milesi-Ferretti, G. M. (2007): The external wealth of nations mark ii: revised and extended estimates of foreign assets and liabilities, 1970–2004. Journal of International Economics, 73.
Google Scholar -
Lane, P. R./Milesi-Ferretti, G. M. (2012): External adjustment and the global crisis. Journal of International Economics, Vol. 88(2), 252–265.
Google Scholar -
Lane, P. R./Pels, B. (2012): Current account imbalances in Europe. CEPR Discussion Paper 8958, Centre for Economic Policy Research.
Google Scholar -
Lu, Y./Wang, Y. (2019): Determinants of currency composition of reserves: a portfolio theory approach with an application to RMB. IMF Working Paper 2019/052, International Monetary Fund.
Google Scholar -
Martin, R./Schuknecht, L./Vansteenkiste, I. (2007): The role of the exchange rate for adjustment in boom and bust episodes. ECB Working Paper 813, European Central Bank.
Google Scholar -
Merler, S./Pisani-Ferry, J. (2012): Sudden stops in the euro area. Policy Contributions 718, Bruegel.
Google Scholar -
Milesi-Ferretti, G. M./Razin, A. (1998): Sharp reductions in current account deficits: an empirical analysis. European Economic Review, Vol. 42(3–5), 897–908.
Google Scholar -
Moessner, R. (2018): Effects of asset purchases and financial stability measures on term premia in the euro area. Applied Economics, Vol. 50(43), 4617–4631.
Google Scholar -
Neely, C. J. (2015): Unconventional monetary policy had large international effects. Journal of Banking & Finance, Vol. 52(C), 101–111.
Google Scholar -
Neri, S./Siviero, S. (2018): The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks. Credit and Capital Markets, Vol. 51(4), 513–560.
Google Scholar -
Schnabl, G. (2021). Macroeconomic policy making and current account imbalances in the Euro Area. Credit and Capital Markets.
Google Scholar -
Afonso, A./Arghyrou, M. G./Gadea, M. D./Kontonikas, A. (2018): “Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. Journal of International Money and Finance, Vol. 86(C), 1–30.
Google Scholar -
Alcidi, C./Capolongo, A./Gros, D./Musmeci, R./Jahn, M. (2020): Developments in EU Capital Flows in the Global Context. Technical report, European Commission.
Google Scholar -
Altavilla, C./Carboni, G./Motto, R. (2015): Asset purchase programmes and financial markets: lessons from the euro area. ECB Working Paper 1864, European Central Bank.
Google Scholar -
Andrade, P./Breckenfelder, J./De Fiore, F./Karadi, P./Tristani, O. (2016): The ECB’s asset purchase programme: an early assessment. ECB Working Paper 1956, European Central Bank.
Google Scholar -
Bandaogo, M. S./Chen, Y. (2020): Duration of sudden stop spells: a hazard model approach. Review of International Economics, Vol. 28(1), 105–118.
Google Scholar -
Beck, R./Fidora, M. (2008): The impact of sovereign wealth funds on global financial markets. Review of European Economic Policy, Vol. 43(6), 349–358.
Google Scholar -
Belke, A./Volz, U. (2018): Capital flows to emerging market and developing economies: global liquidity and uncertainty versus country-specific pull factors. Working Paper 23/2018, Deutsches Institut für Entwicklungspolitik.
Google Scholar -
Bergant, K./Fidora, M./Schmitz, M. (2020): International capital flows at the security level: evidence from the ECB’s asset purchase programme. IMF Working Paper 2020/046, International Monetary Fund.
Google Scholar -
Bindseil, U./König, P. J. (2012): TARGET2 and the European sovereign debt crisis. Credit and Capital Markets, Vol. 45(2), 135–174.
Google Scholar -
Bordo, M. D./Cavallo, A. F./Meissner, C. M. (2010): Sudden stops: determinants and output effects in the first era of globalization, 1880-1913. Journal of Development Economics, Vol. 91(2), 227–241.
Google Scholar -
Broner, F./Didier, T./Erce, A./Schmukler, S. L. (2013): Gross capital flows: dynamics and crises. Journal of Monetary Economics, Vol. 60, 113–133.
Google Scholar -
Bussiere, M./Fratzscher, M. (2002): Towards a new early warning system of financial crises. ECB Working Paper 145, European Central Bank.
Google Scholar -
Calderon, C./Kubota, M. (2013): Sudden stops: are global and local investors alike? Journal of International Economics, Vol. 89(1), 122–142.
Google Scholar -
Calvo, G. A./Izquierdo, A./Mejia, L.-F. (2008): Systemic sudden stops: the relevance of balance-sheet effects and financial integration. NBER Working Paper 14026, National Bureau of Economic Research.
Google Scholar -
Calvo, G./Reinhart, C. (2000): When capital inflows suddenly stop: consequences and policy options. In Reforming the international monetary and financial system. International Monetary Fund.
Google Scholar -
Cavallo, E. A./Frankel, J. A. (2008): Does openness to trade make countries more vulnerable to sudden stops, or less? Using gravity to establish causality. Journal of International Money and Finance, Vol. 27(8), 1430–1452.
Google Scholar -
Cavallo, E./Powell, A./Pedemonte, M./Tavella, P. (2015): A new taxonomy of sudden stops: which sudden stops should countries be most concerned about? Journal of International Money and Finance, Vol. 51, 47–70.
Google Scholar -
Chari, A./Stedman, K. D./Lundblad, C. (2017): Taper tantrums: QE, its aftermath and emerging market capital flows. NBER Working Paper 23474, National Bureau of Economic Research.
Google Scholar -
Chhaochharia, V./Laeven, L. (2008): Sovereign wealth funds: their investment strategies and performance. CEPR Discussion Paper 6959, Centre for Economic Policy Research.
Google Scholar -
Chinn, M. D./Ito, H. (2006): What matters for financial development? Capital controls, institutions, and interactions. Journal of Development Economics, Vol. 81(1), 163–192.
Google Scholar -
Cœuré, B. (2017): The international dimension of the ECB’s asset purchase programme. Speech at the Foreign Exchange Contact Group meeting, 11 July 2017.
Google Scholar -
David, A./Gonçalves, C. E. (2019): In search of lost time: examining the duration of sudden stops in capital flows. IMF Working Paper 2019/230, International Monetary Fund.
Google Scholar -
Davis, J. S./Valente, G./Van Wincoop, E. (2021): Global drivers of gross and net capital flows. Journal of International Economics, 128.
Google Scholar -
De Santis, R. A. (2020): Impact of the asset purchase programme on euro area government bond yields using market news. Economic Modelling, Vol. 86(C), 192–209.
Google Scholar -
Edwards, S. (2004): Financial openness, sudden stops, and current-account reversals. American Economic Review, Vol. 94(2), 59–64.
Google Scholar -
Edwards, S. (2007): Capital controls, capital flow contractions, and macroeconomic vulnerability. Journal of International Money and Finance, Vol. 26(5), 814–840.
Google Scholar -
Eichengreen, B./Gupta, P. (2018): Managing sudden stops. In Mendoza, E. G./Pastén, E./Saravia, D. (eds.), Monetary policy and global spillovers: mechanisms, effects and policy measures, volume 25 of Central Banking, Analysis, and Economic Policies Book Series, chapter 2, 009-047. Central Bank of Chile.
Google Scholar -
Eisenschmidt, J./Kedan, D./Schmitz, M./Adalid, R./Papsdorf, P. (2017): The Eurosystem’s asset purchase programme and TARGET balances. ECB Occasional Paper 196, European Central Bank.
Google Scholar -
Fagan, G./McNelis, P. D. (2020): Sudden stops in the euro area: does Monetary Union matter? Journal of International Money and Finance, Vol. 108, 102–163.
Google Scholar -
International Monetary Fund (2012). The liberalization and management of capital flows: an institutional view. Policy Paper 196, International Monetary Fund.
Google Scholar -
Jevcak, A./Setzer, R./Suardi, M. (2010): Determinants of capital Flows to the new EU Member States before and during the financial crisis. Economic Papers 425, European Commission.
Google Scholar -
Krishnamurthy, A./Vissing-Jorgensen, A. (2011): The effects of quantitative easing on interest rates: channels and implications for policy. Brookings Papers on Economic Activity, Vol. 42(2 (Fall), 215–287.
Google Scholar -
Krugman, P. (2014): Currency regimes, capital flows, and crises. IMF Economic Review, Vol. 62(4), 470–493.
Google Scholar -
Lane, P. R. (2013): Capital flows in the euro area. CEPR Discussion Paper 9493, Centre for Economic Policy Research.
Google Scholar -
Lane, P. R./McQuade, P. (2014): Domestic credit growth and international capital flows. Scandinavian Journal of Economics, Vol. 116(1), 218–252.
Google Scholar -
Lane, P. R./Milesi-Ferretti, G. M. (1999): The external wealth of nations: measures of foreign assets and liabilities for industrial and developing countries. CEPR Discussion Paper 2231, Centre for Economic Policy Research.
Google Scholar -
Lane, P. R./Milesi-Ferretti, G. M. (2007): The external wealth of nations mark ii: revised and extended estimates of foreign assets and liabilities, 1970–2004. Journal of International Economics, 73.
Google Scholar -
Lane, P. R./Milesi-Ferretti, G. M. (2012): External adjustment and the global crisis. Journal of International Economics, Vol. 88(2), 252–265.
Google Scholar -
Lane, P. R./Pels, B. (2012): Current account imbalances in Europe. CEPR Discussion Paper 8958, Centre for Economic Policy Research.
Google Scholar -
Lu, Y./Wang, Y. (2019): Determinants of currency composition of reserves: a portfolio theory approach with an application to RMB. IMF Working Paper 2019/052, International Monetary Fund.
Google Scholar -
Martin, R./Schuknecht, L./Vansteenkiste, I. (2007): The role of the exchange rate for adjustment in boom and bust episodes. ECB Working Paper 813, European Central Bank.
Google Scholar -
Merler, S./Pisani-Ferry, J. (2012): Sudden stops in the euro area. Policy Contributions 718, Bruegel.
Google Scholar -
Milesi-Ferretti, G. M./Razin, A. (1998): Sharp reductions in current account deficits: an empirical analysis. European Economic Review, Vol. 42(3-5), 897–908.
Google Scholar -
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Abstract
This paper analyses the incidence and severity of sudden stops in euro area countries before and after the introduction of the ECB’s asset purchase programmes. We define sudden stops as abrupt declines in private net financial inflows, i.e. total flows adjusted for EU and IMF loans and changes in TARGET2 balances. We document that sudden stop were more frequent and more severe in euro area countries compared to other OECD economies over the period 1999–2020. We find that the susceptibility of euro area countries to severe sudden stops mainly reflects domestic fundamentals whereas there is no clear evidence of an adverse direct effect of being part of the euro area. Moreover, our econometric analysis suggests that the ECB asset purchase programmes have overall almost halved the risk of severe sudden stops in euro area countries. We find tentative evidence that this effect operates through confidence channels.