THE IMPACT OF CAPITAL FLOWS ON THE REAL EXCHANGE RATE: EVIDENCE FROM SERBIA
Ključne reči:
kapitalni tokovi, realni efektivni devizni kurs, mala otvorena ekonomija, Srbija, vektorska autoregresija
Sažetak
Kao mala otvorena ekonomija koja je sve više integrisana u globalna finansijska tržišta, Srbija je izložena fluktuacijama međunarodnih tokova kapitala koje mogu uticati na dinamiku deviznog kursa i makroekonomsku stabilnost. Ovaj rad ispituje odnos između međunarodnih tokova kapitala i realnog efektivnog deviznog kursa u Srbiji, sa posebnim osvrtom na strukturu priliva kapitala. U analizi se primenjuje model strukturne vektorske autoregresije (SVAR) kako bi se obuhvatile dinamičke interakcije između spoljašnjih ekonomskih uslova, tokova kapitala, monetarne politike, domaće ekonomske aktivnosti i realnog efektivnog deviznog kursa, koristeći kvartalne podatke za period od 2007. do 2024. godine. Rezultati dobijeni analizom impulsnih reakcija ukazuju da šokovi u prilivu kapitala dovode do umerene aprecijacije realnog deviznog kursa, pri čemu se intenzitet i trajanje tog efekta razlikuju u zavisnosti od strukture kapitalnih tokova. Prilivi kapitala u obliku vlasničkih ulaganja pokazuju nešto postojaniji efekat aprecijacije u odnosu na prilive zasnovane na dužničkim instrumentima, dok je ukupan uticaj agregiranih kapitalnih tokova relativno ograničen. Ovi nalazi naglašavaju značaj strukture kapitalnih tokova za dinamiku deviznog kursa i pružaju korisne implikacije za formulisanje devizne i makroprudencione politike u malim otvorenim ekonomijama.
Reference
Ahmad, M., & Wu, Q. (2022). Does herding behavior matter in investment management and perceived market efficiency? Evidence from an emerging market. Management Decision, 60(8), 2148–2173. https://doi.org/10.1108/MD-07-2020-0867
Aprilia, E., Hidayat, A., & Asngari, I. (2024). Causality between exchange rates, economic growth and inflation in Indonesia. Economic Analysis, 57(1), 36–52. https://doi.org/10.28934/ea.24.57.1.pp36-52
Boudias, R. (2015). Capital inflows, exchange rate regimes and credit dynamics in emerging market economies. International Economics, 143, 80–97. https://doi.org/10.1016/j.inteco.2015.05.001
Bozhinovska, S. (2024). Central bank operations under foreign exchange accumulation: The case of the Macedonian central bank (2005–2022). Review of Political Economy, 1–27. https://doi.org/10.1080/09538259.2024.2381043
Brooks, R., Edison, H., Kumar, M. S., & Sløk, T. (2004). Exchange rates and capital flows. European Financial Management, 10(3), 511–533. https://doi.org/10.1111/j.1354-7798.2004.00261.x
Bukovšak, M., Lukinić Čardić, G., & Pavić, N. (2020). Structure of capital flows and exchange rate: The case of Croatia. Empirica, 47(1), 113–146. https://doi.org/10.1007/s10663-019-09441-1
Combes, J.-L., Kinda, T., & Plane, P. (2012). Capital flows, exchange rate flexibility, and the real exchange rate. Journal of Macroeconomics, 34(4), 1034–1043. https://doi.org/10.1016/j.jmacro.2012.08.001
Đukić, M., & Bodroža, D. (2022). Diaspora contribution to the economic development of the Republic of Serbia: Remittances and investments. In Economic and financial implications of COVID-19 crises (pp. 181–199). Université Côte d’Azur.
Erić, D., Đukić, M., & Bodroža, D. (2021). Finansijska tržišta X.0. Belgrade Banking Academy; Data Status.
Grossmann, A., & Orlov, A. G. (2022). Exchange rate misalignments, capital flows and volatility. The North American Journal of Economics and Finance, 60, 101640. https://doi.org/10.1016/j.najef.2022.101640
Hamilton, J. D. (1994). Time series analysis. Princeton University Press.
Ilzetzki, E., Reinhart, C. M., & Rogoff, K. S. (2022). Rethinking exchange rate regimes. In G. Gopinath, E. Helpman, & K. Rogoff (Eds.), Handbook of international economics (Vol. 6, pp. 91–145). Elsevier. https://doi.org/10.1016/bs.hesint.2022.02.010
Itskhoki, O., & Mukhin, D. (2025). What drives the exchange rate? IMF Economic Review, 73, 86–117. https://doi.org/10.1057/s41308-024-00251-0
Jongwanich, J., & Kohpaiboon, A. (2013). Capital flows and real exchange rates in emerging Asian countries. Journal of Asian Economics, 24, 138–146. https://doi.org/10.1016/j.asieco.2012.10.006
Kadırgan, C. (2023). Exchange rate driven balance sheet effect and capital flows to emerging market economies. The Quarterly Review of Economics and Finance, 87, 35–45. https://doi.org/10.1016/j.qref.2022.11.003
Koepke, R., & Paetzold, S. (2024). Capital flow data—A guide for empirical analysis and real-time tracking. International Journal of Finance & Economics, 29(1), 311–331. https://doi.org/10.1002/ijfe.2687
Ledóchowski, M., & Żuk, P. (2022). What drives portfolio capital inflows into emerging market economies? The role of the Fed's and ECB's balance sheet policies. Emerging Markets Review, 51, 100881. https://doi.org/10.1016/j.ememar.2021.100881
Liu, T. Y., & Lee, C. C. (2022). Exchange rate fluctuations and interest rate policy. International Journal of Finance & Economics, 27(3), 3531–3549. https://doi.org/10.1002/ijfe.2336
Lu, D., Liu, J., & Zhou, H. (2022). Global financial conditions, capital flows and the exchange rate regime in emerging market economies. Journal of International Financial Markets, Institutions and Money, 77, 101492. https://doi.org/10.1016/j.intfin.2022.101492
Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer.
Magud, N. E., Reinhart, C. M., & Vesperoni, E. R. (2011). Capital inflows, exchange rate flexibility, and credit booms (NBER Working Paper No. 17670). National Bureau of Economic Research. https://doi.org/10.3386/w17670
Manić, A., & Grubišić, Z. (2020). Creating monetary measurement unit (MMU) as the global universal measure for hedging against inflation and currency risk. Economic Analysis, 53(1), 179–186. https://doi.org/10.28934/ea.20.53.1.pp179-186
Miranda-Agrippino, S., & Rey, H. (2022). The global financial cycle. In G. Gopinath, E. Helpman, & K. Rogoff (Eds.), Handbook of international economics (Vol. 6, pp. 1–43). Elsevier. https://doi.org/10.1016/bs.hesint.2022.02.008
Montes-Rojas, G., & Toledo, F. (2021). External shocks and inflationary pressures in Argentina: A post-Keynesian-structuralist empirical approach. Review of Political Economy, 34(4), 789–806. https://doi.org/10.1080/09538259.2021.1993001
Morvillier, F. (2020). Do currency undervaluations affect the impact of inflation on growth? Economic Modelling, 84, 275–292. https://doi.org/10.1016/j.econmod.2019.04.010
Nenadović, S. (2022). Repo rates as reference interest rates: Testing the expectations hypothesis of the term structure of interest rates. Economic Analysis, 55(2), 8–19. https://doi.org/10.28934/ea.22.55.2.pp1-19
Oskolkov, A. (2023). Exchange rate policy and heterogeneity in small open economies. Journal of International Economics, 142, 103750. https://doi.org/10.1016/j.jinteco.2023.103750
Pedrono, J. (2022). The currency channel of the global bank leverage cycle. Journal of International Money and Finance, 126, 102652. https://doi.org/10.1016/j.jimonfin.2022.102652
Rafi, O. P. C. M., & Ramachandran, M. (2018). Capital flows and exchange rate volatility: Experience of emerging economies. Indian Economic Review, 53, 183–205. https://doi.org/10.1007/s41775-018-0031-1
Razmi, A., Rapetti, M., & Skott, P. (2011). The real exchange rate and economic development (Working Paper No. 2011-08). University of Massachusetts.
Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.
Aprilia, E., Hidayat, A., & Asngari, I. (2024). Causality between exchange rates, economic growth and inflation in Indonesia. Economic Analysis, 57(1), 36–52. https://doi.org/10.28934/ea.24.57.1.pp36-52
Boudias, R. (2015). Capital inflows, exchange rate regimes and credit dynamics in emerging market economies. International Economics, 143, 80–97. https://doi.org/10.1016/j.inteco.2015.05.001
Bozhinovska, S. (2024). Central bank operations under foreign exchange accumulation: The case of the Macedonian central bank (2005–2022). Review of Political Economy, 1–27. https://doi.org/10.1080/09538259.2024.2381043
Brooks, R., Edison, H., Kumar, M. S., & Sløk, T. (2004). Exchange rates and capital flows. European Financial Management, 10(3), 511–533. https://doi.org/10.1111/j.1354-7798.2004.00261.x
Bukovšak, M., Lukinić Čardić, G., & Pavić, N. (2020). Structure of capital flows and exchange rate: The case of Croatia. Empirica, 47(1), 113–146. https://doi.org/10.1007/s10663-019-09441-1
Combes, J.-L., Kinda, T., & Plane, P. (2012). Capital flows, exchange rate flexibility, and the real exchange rate. Journal of Macroeconomics, 34(4), 1034–1043. https://doi.org/10.1016/j.jmacro.2012.08.001
Đukić, M., & Bodroža, D. (2022). Diaspora contribution to the economic development of the Republic of Serbia: Remittances and investments. In Economic and financial implications of COVID-19 crises (pp. 181–199). Université Côte d’Azur.
Erić, D., Đukić, M., & Bodroža, D. (2021). Finansijska tržišta X.0. Belgrade Banking Academy; Data Status.
Grossmann, A., & Orlov, A. G. (2022). Exchange rate misalignments, capital flows and volatility. The North American Journal of Economics and Finance, 60, 101640. https://doi.org/10.1016/j.najef.2022.101640
Hamilton, J. D. (1994). Time series analysis. Princeton University Press.
Ilzetzki, E., Reinhart, C. M., & Rogoff, K. S. (2022). Rethinking exchange rate regimes. In G. Gopinath, E. Helpman, & K. Rogoff (Eds.), Handbook of international economics (Vol. 6, pp. 91–145). Elsevier. https://doi.org/10.1016/bs.hesint.2022.02.010
Itskhoki, O., & Mukhin, D. (2025). What drives the exchange rate? IMF Economic Review, 73, 86–117. https://doi.org/10.1057/s41308-024-00251-0
Jongwanich, J., & Kohpaiboon, A. (2013). Capital flows and real exchange rates in emerging Asian countries. Journal of Asian Economics, 24, 138–146. https://doi.org/10.1016/j.asieco.2012.10.006
Kadırgan, C. (2023). Exchange rate driven balance sheet effect and capital flows to emerging market economies. The Quarterly Review of Economics and Finance, 87, 35–45. https://doi.org/10.1016/j.qref.2022.11.003
Koepke, R., & Paetzold, S. (2024). Capital flow data—A guide for empirical analysis and real-time tracking. International Journal of Finance & Economics, 29(1), 311–331. https://doi.org/10.1002/ijfe.2687
Ledóchowski, M., & Żuk, P. (2022). What drives portfolio capital inflows into emerging market economies? The role of the Fed's and ECB's balance sheet policies. Emerging Markets Review, 51, 100881. https://doi.org/10.1016/j.ememar.2021.100881
Liu, T. Y., & Lee, C. C. (2022). Exchange rate fluctuations and interest rate policy. International Journal of Finance & Economics, 27(3), 3531–3549. https://doi.org/10.1002/ijfe.2336
Lu, D., Liu, J., & Zhou, H. (2022). Global financial conditions, capital flows and the exchange rate regime in emerging market economies. Journal of International Financial Markets, Institutions and Money, 77, 101492. https://doi.org/10.1016/j.intfin.2022.101492
Lütkepohl, H. (2005). New introduction to multiple time series analysis. Springer.
Magud, N. E., Reinhart, C. M., & Vesperoni, E. R. (2011). Capital inflows, exchange rate flexibility, and credit booms (NBER Working Paper No. 17670). National Bureau of Economic Research. https://doi.org/10.3386/w17670
Manić, A., & Grubišić, Z. (2020). Creating monetary measurement unit (MMU) as the global universal measure for hedging against inflation and currency risk. Economic Analysis, 53(1), 179–186. https://doi.org/10.28934/ea.20.53.1.pp179-186
Miranda-Agrippino, S., & Rey, H. (2022). The global financial cycle. In G. Gopinath, E. Helpman, & K. Rogoff (Eds.), Handbook of international economics (Vol. 6, pp. 1–43). Elsevier. https://doi.org/10.1016/bs.hesint.2022.02.008
Montes-Rojas, G., & Toledo, F. (2021). External shocks and inflationary pressures in Argentina: A post-Keynesian-structuralist empirical approach. Review of Political Economy, 34(4), 789–806. https://doi.org/10.1080/09538259.2021.1993001
Morvillier, F. (2020). Do currency undervaluations affect the impact of inflation on growth? Economic Modelling, 84, 275–292. https://doi.org/10.1016/j.econmod.2019.04.010
Nenadović, S. (2022). Repo rates as reference interest rates: Testing the expectations hypothesis of the term structure of interest rates. Economic Analysis, 55(2), 8–19. https://doi.org/10.28934/ea.22.55.2.pp1-19
Oskolkov, A. (2023). Exchange rate policy and heterogeneity in small open economies. Journal of International Economics, 142, 103750. https://doi.org/10.1016/j.jinteco.2023.103750
Pedrono, J. (2022). The currency channel of the global bank leverage cycle. Journal of International Money and Finance, 126, 102652. https://doi.org/10.1016/j.jimonfin.2022.102652
Rafi, O. P. C. M., & Ramachandran, M. (2018). Capital flows and exchange rate volatility: Experience of emerging economies. Indian Economic Review, 53, 183–205. https://doi.org/10.1007/s41775-018-0031-1
Razmi, A., Rapetti, M., & Skott, P. (2011). The real exchange rate and economic development (Working Paper No. 2011-08). University of Massachusetts.
Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1–48.
Objavljeno
2026/04/17
Rubrika
Originalni naučni članak
