Gurnain Pasricha is a Principal Researcher in Financial Stability Department. Prior to that, she worked in the International Economic Analysis Department in the Bank. Her primary research interests center on measuring international financial integration, management of capital flows in emerging economies and the use and effectiveness of capital controls and macroprudential policy. She has also worked on understanding the spread of the recent global financial crisis and assessing systemic vulnerability to crises. She obtained a PhD in International Economics from University of California, Santa Cruz and is also a research associate of the Santa Cruz Institute for International Economics.
This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities.Topics: Econometric and statistical methods; Financial stability; Monetary and financial indicators
In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization of capital outflow controls can allow emerging-market economies (EMEs) to reduce net capital inflow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates.Topics: Debt Management; Financial system regulation and policies; International topics; Recent economic and financial developments
This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) markets using the self-exciting threshold autoregressive (SETAR) methodology.Topics: Econometric and statistical methods; International financial markets; International topics
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price indices was comparable to that in high income countries, indicating that there was no decoupling, even before Lehman Brothers’ demise.Topics: Balance of payments and components; Financial markets; International topics
This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band.Topics: Econometric and statistical methods; Financial markets; International topics