The volatility of cross-border capital flow (CF) has become higher in the last two decades. We use a sample of advanced and emerging market economies in the last two decades, with a focus on portfolio fund flows (equities and bonds). We find that the impact of portfolio CF volatility on exchange rate (FX) volatility is diminished in the short-term if specific economic fundamentals of the country are stronger, especially when these fundamentals pass certain threshold levels. The finding is controlled for different exchange rate regimes and the level of capital control. We further introduce an intuitive FX resilience measure that can be used to assess the stability of exchange rates in the context of heightened CF volatility. The decomposed FX resilience measure shows that the major contributing fundamentals to FX resilience are from the finance channel, including short-term interest rate, fiscal surplus, and financial development.

中文翻译：

---

全球外汇韧性：应对波动的跨境资本流动


在过去的二十年里，跨境资本流动 （CF） 的波动性越来越高。我们使用了过去二十年发达和新兴市场经济体的样本，重点关注投资组合资金流向（股票和债券）。我们发现，如果该国的特定经济基本面更强劲，特别是当这些基本面超过一定的阈值水平时，投资组合 CF 波动性对汇率 （FX） 波动性的影响在短期内会减弱。该发现针对不同的汇率制度和资本控制水平进行了控制。我们进一步介绍了一种直观的外汇弹性指标，可用于评估在 CF 波动性加剧的情况下汇率的稳定性。分解的外汇弹性指标显示，影响外汇弹性的主要基本面来自金融渠道，包括短期利率、财政盈余和金融发展。