I am responsible for investigating the financial trends and financial stability risks in the emerging and frontier economies. The external output includes the global financial stability report, working papers and policy blogs; internal output includes memos, senior management presentations, discussions with country authorities et al. The sections below include some of the analysis that has been published in the public domain
As part of a new initiative on capital flows at the IMF, I launched a new framework to do multilateral surveillance and track capital flows. The framework allows us to monitor capital flows across multiple dimensions (investor base, asset classes, countries) and at a much higher frequency. The project was selected to be presented at the IMF-WB annual meetings, in front of IMF senior management and through multiple quarterly monitors. We have launched almost a dozen monitors since then
The Capital-Flows-at-Risk framework takes a forward-looking perspective on risks to EM capital flows by asking what global financial conditions today can tell us about the expected future distribution of capital flows. In particular, we use a quantile regression framework that allows us to quantify the downside (and upside) risks to future capital flows, conditional on the prevailing global financial conditions. The results were introduced in GFSR October 2018. This framework has since been researched by Bank of England and presented by Mark Carney, including a working paper at the IMF
Understanding the difference in drivers for different flows (equities, local currency bonds, hard currency bonds), differentiating between capital flow reversals and surges; Published in GFSR April 2020 and GFSR October 2020. The work was also published as a guest post in VOXeu economic policy blog.
I am also deploying this framework in a large Emerging Market, as part of its five-yearly Financial Stability Assessment Program. The aim is to understand the differential drivers of surges vs reversals, and forecast the capital flows at risk under global risk aversion shocks (see IMF Working Paper)
Multi-faceted framework to look at the EM vulnerabilities across a number of dimensions: non-financial corporate sector, banking system, external financing and trade linkages (GFSR Apr 2017; GFSR Oct 2018, GFSR Apr 2020, GFSR October 2020). The work on EM SOEs was also featured in Financial Times, and Enterprise.
Indicator-based framework is a new framework launched to systemically monitor vulnerabilities across three major dimensions: 1) Large AE + EM countries; 2) Key sectors including corporate, sovereign, banks, non-bank fins etc; and 3) Key mismatches including leverage, maturity mismatch, liquidity mismatches etc. I lead the team which oversees the sovereign and external sector vulnerabilities for both EMs and AEs.
Fundamentals-based asset valuation model for EM sovereign dollar bond spreads, as well as local currency bond yields, incorporating domestic macroeconomic variables and external financial conditions. Published in every GFSR since GFSR October 2019. Working paper available upon request
Documented and analyzed the EM policy response after COVID-19 sell-off including 1) drivers of EM FX, separating the role of global factors vs FX intervention; 2) Effectiveness and risks for the broadbased quantitative easing in EMs; and 3) debt distress dynamics in EMs, including the analysis on the DSSI initiative. Results highlighted in GFSR October 2020.
Special focus on the EM QE experience: 1) IMF Blog documenting the effectiveness of EM QE experience during the COVID-19 sell-off; and 2) Working Paper analyzing the effectiveness of EM QE announcements, across all domestic financial markets
Emerging Markets often confront an "index inclusion" risk. We find that benchmark-investors can be more sensitive to changes in global financial conditions than other investors. For emerging markets, this could contribute to destabilizing economic effects. This topic was covered in GFSR April 2019, and an OMFIF Guest Post. See IMF Working Paper on this topic
China's inclusion in the global benchmark indices is a momentous step in China's integration in the global financial markets. It brings significant portfolio flows to China, though increases the risks to both China and other emerging markets. This topic was covered in GFSR April 2019, an IMF Blog and presentations to senior management. Also covered in Chinese media quite extensively.
IMF departmental paper on the global investment funds and the policy implications for financial stability: I co-led the chapter on the cross-border spillovers for Emerging Markets including the role of benchmark-driven investors; and the role of multi-strat funds.
IMF board policy paper on the lower-income economies, focusing on the evolution of the public debt vulnerabilities in these economies. Public debt in LIEs has risen in recent years, with half of the countries assessed to be at high risk of or already in debt distress. Staffs’ projections point to a gradual decline in debt levels over the next five years but important gaps with respect to debt management and debt data transparency remain.