Restrictive policy impacts in emerging economies

Figures & data

Table 1. Summary of studies’ results

Study	Reducing Real Exchange Rate Pressure	Autonomy of Monetary Policy
	Control on Inflows
Brazil	Inconclusive	Inconclusive
Chile	Inconclusive	Inconclusive
Colombia	Inconclusive	Inconclusive
Malaysia (1989)	Yes	Yes
Malaysia (1994)	Inconclusive	Yes
Thailand	Inconclusive	Inconclusive
Malaysia (1998)	Yes	Yes
	Control on Outflows
Brazil	Yes	Inconclusive
Chile	Inconclusive	Yes
Colombia	Yes	Inconclusive
Thailand	Inconclusive	Inconclusive
Multi-countries studies	Inconclusive	Inconclusive

Table 2. Variables description

Variable	Description	Source
ka	Overall restrictions index (all asset categories)	Fernández et al. (2016) “Capital Control Measures: A New Dataset”
kai	Overall inflow restrictions index (all asset categories)
kao	Overall outflow restrictions index (all asset categories)
kaopen	The extent of openness in capital account transactions	Chinn, M. D., and H. Ito, The Chinn-Ito Index, http://web.pdx.edu/~ito/Chinn-Ito_website.htm, last updated July 2017.
rate	Interest rate spread (to the US interest rate)	IFS, International Financial Statistics of IMF
xchge	Bilateral exchange rate (to the US $)	IFS, International Financial Statistics of IMF
ir	Reserves and related items	WDI, World Bank Data
infl	Capital inflows, Portfolio equity and FDI, net inflows (BoP, current US$)	WDI, World Bank Data
outfl	Capital outflows, Portfolio equity and FDI, net outflows (BoP, current US$)	WDI, World Bank Data
spill	the annual change of the capital inflows exceeds by two standard deviations the average annual change overall observations	Author’s calculations based on capital inflows data

Source: authors’ illustration.

Table 3. Augmented Dickey-Fuller (ADF) test—Results for unit roots

Variables	Level		First differences
	Intercept	Intercept and trends	Intercept	Intercept and trends
rate	−2.304	−1.628	−6.312*	−9.639**
xchge	−3.015	−1.836	−7.298**	−8.614**
ir	−1.625	−2,378	−7.645**	−7.235**
gross	−2.865	−2.104	−6.423*	−7.629**
infl	−2.571	−3.817	−6.381*	−8.481**
outfl	−2.763	−2.918	−8.328**	−9.101**

*, ** implies significance at the 5%, and 1% levels, respectively.

Source: author’s calculations.

Table 4. Impacts Analysis (Panel Vector Autoregressive model, before the 2008 crisis)

		Coefficient	Std. Err.	t-student	P>|t|	[95% Conf. Interval]
rate	ka	0.022	0.655	0.35	0.325	−0.898	0.238
	kai	0.135	0.267	0.18	0.545	0.765	0.257
	kao	0.035	0.768	0.22	0.657	0.838	0.149
	kaopen	0.613	0.657	0.45	0.587	3.625	2.457
	xchge	−0.017	−0.879	−0.03	0.923	−2.339	−2.576
	gross	0.041	0.467	0.58	0.365	1.625	4.457
	spill	0.045	0.658	1.15	0.247	0.958	3.549
	ir	0.535	0.785	0.44	0.000	−0.738	0.218
xchge	ka	−0.129	−0.085	−1.21	0.476	−0.738	0.218
	kai	0.228	0.407	0.15	0.297	0.559	0.659
	kao	0.139	0.415	1.05	0.009	0.098	0.982
	kaopen	−0.042	0.433	−1.62	0.000	−0.128	−0.018
	rate	−0.146	−0.237	−1.54	0.032	0.223	0.970
	gross	0.180	0.150	1.06	0.063	0.147	0.575
	spill	0.596	0.437	1.45	0.068	0.123	0.770
	ir	0.096	0.537	1.68	0.148	0.253	0.958
ir	ka	0.012	0.327	1.24	0.001	0.213	0.854
	kai	0.132	0.322	1.38	0.005	1.925	3.257
	kao	0.345	0.456	0.85	0.517	0.468	1.549
	kaopen	0.041	0.350	1.06	0.013	0.147	0.575
	rate	0.358	0.157	1.35	0.587	0.257	1.970
	xchge	0.326	0.254	0.14	0.000	0.683	0.870
	gross	0.754	0.076	2.14	0.000	0.013	0.940
	spill	0.546	0.357	0.08	0.000	0.983	1.835
spill	ka	0.236	0.057	0.35	0.568	0.157	1.970
	kai	0.038	0.322	0.15	0.000	0.059	0.659
	kao	0.009	0.015	0.85	0.009	0.098	0.982
	kaopen	0.156	0.257	1.29	0.000	0.145	0.970
	rate	0.127	0.154	1.35	0.437	0.178	0.754
	xchge	0.458	0.022	0.15	0.197	0.059	0.659
	gross	0.359	0.415	2.05	0.009	0.098	0.982
	ir	0.101	0.037	1.32	0.302	0.021	0.587

Source: author’s calculations.

Table 5. Impacts Analysis (Panel Vector Autoregressive model, after the 2008 crisis)

		Coefficient	Std. Err.	t-student	P>|t|	[95% Conf. Interval]
rate	ka	0.019	0.055	2.17	0.006	−0.998	0.118
	kai	0.049	0.767	0.58	0.365	0.915	3.157
	kao	0.035	0.858	0.15	0.247	0.758	2.549
	kaopen	0.541	0.467	3.58	0.000	1.625	4.457
	xchge	−0.227	−0.569	−4.00	0.000	−0.339	−0.116
	gross	0.041	0.467	0.58	0.365	1.625	4.457
	spill	0.045	0.058	2.15	0.047	0.958	3.549
	ir	0.7195	0.085	2.44	0.000	−0.738	0.218
xchge	ka	−0.319	−0.085	−2.44	0.000	−0.738	0.218
	kai	0.228	0.407	0.15	0.297	0.559	0.659
	kao	0.139	0.415	1.05	0.009	0.098	0.982
	kaopen	−0.742	0.283	−3.62	0.000	−0.128	−0.018
	rate	−0.396	−0.437	−2.24	0.032	0.223	0.970
	gross	0.180	0.150	1.06	0.063	0.147	0.575
	spill	0.036	0.007	3.45	0.001	0.123	0.770
	ir	0.096	0.537	1.68	0.148	0.253	0.958
ir	ka	0.096	0.427	3.24	0.001	0.213	0.854
	kai	0.141	0.592	2.38	0.005	1.925	3.257
	kao	0.345	0.456	0.85	0.517	0.468	1.549
	kaopen	0.080	0.350	2.06	0.013	0.147	0.575
	rate	0.358	0.157	1.35	0.587	0.257	1.970
	xchge	0.326	0.254	0.14	0.000	0.683	0.870
	gross	0.754	0.076	2.14	0.000	0.013	0.940
	spill	0.546	0.157	3.08	0.000	0.983	1.835
spill	ka	0.236	0.057	0.35	0.568	0.157	1.970
	kai	0.258	0.322	3.15	0.000	0.059	0.659
	kao	0.009	0.015	0.85	0.009	0.098	0.982
	kaopen	0.046	0.257	2.29	0.000	0.145	0.970
	rate	0.127	0.154	1.35	0.437	0.178	0.754
	xchge	0.458	0.022	0.15	0.197	0.059	0.659
	gross	0.359	0.415	2.05	0.009	0.098	0.982
	ir	0.101	0.037	1.32	0.302	0.021	0.587

Source: author’s calculations.

Table 6. Granger Causality Test

Equation	Excluded	Chi2	Prob > chi2
rate	ka	15.983	0.000
	kai	35.367	0.002
	kao	23.687	0.004
	kaopen	27.692	0.000
	xchge	57.427	0.000
	gross	13.548	0.041
	spill	55.327	0.021
	ir	17.692	0.000
xchge	ka	6.833	0.009
	kai	35.367	0.002
	kao	26.324	0.013
	kaopen	23.687	0.004
	rate	27.692	0.000
	gross	36.324	0.000
	spill	12.568	0.312
	ir	9.254	0048
ir	ka	12.505	0.009
	kai	35.312	0.002
	Kao	23.639	0.004
	kaopen	47.615	0.000
	rate	23.622	0.004
	xchge	67.692	0.000
	gross	18.257	0.024
	spill	54.576	0.000

Table 7. Direction of Causality

Null Hypothesis	F-Statistic	Prob.	Remarks
	Ka index
Ka does not Granger Cause rate	7.888	0.001	Bidirectional
rate does not Granger Cause ka	4.296	0.015
ka does not Granger Cause Debt xchge	9.970	0.000	Bidirectional
xchge does not Granger Cause ka	2.662	0.073
	Kai index
kai does not Granger Cause rate	15.348	0.007	Unidirectional
rate does not Granger Cause kai	36.872	0.359
kai does not Granger Cause xchge	25.687	0.025	Unidirectional
xchge does not Granger Cause kai	8.657	0.252
	Kao index
kao does not Granger Cause rate	25.315	0.017	Unidirectional
rate does not Granger Cause kao	43.482	0.359
kao does not Granger Cause xchge	15.587	0.005	Unidirectional
xchge does not Granger Cause kao	29.157	0.252
	Kaopen index
kaopen does not Granger Cause rate	45.302	0.017	Bidirectional
rate does not Granger Cause kaopen	15.459	0.009
kaopen does not Granger Cause xchge	41.526	0.002	Bidirectional
xchge does not Granger Cause kaopen	27.037	0.000

Table 8. Forecast-error variance decomposition due to a CC shocks

Variable	1 quarter ahead	2 quarter ahead	3 quarter ahead	4 quarter ahead
Ka
rate	0.002	0.141	0.258	0.380
xchge	0.456	0.242	0.151	0.025
ir	0.154	0.178	0.197	0. 225
spill	0.054	0.148	0.165	0.228
		Kaopen
rate	0.015	0.141	0.258	0.374
xchge	0.501	0.232	0.057	0.025
ir	0.201	0.185	0.074	0. 061
spill	0.021	0.101	0.131	0.489

Figure 1. Impulse-response functions to positive capital controls (ka and kaopen) shocks.

Fernández, A., Klein, M. W., Rebucci, A., Schindler, M., & Uribe, M. (2016). Capital control measures: A new dataset. IMF Economic Review, 64(3), 548–574. https://doi.org/10.1057/imfer.2016.11

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