The risk sensitivity of international capital flow pressures is explored using a new Exchange Market  Pressure index that combines pressures observed in exchange rate adjustments with model-based  estimates of incipient pressures that are masked by foreign exchange interventions and policy rate  adjustments. The sensitivity of capital flow pressures to risk sentiment, including for so-called safe-haven  currencies, evolves over time, varies significantly across countries, and differs between normal times and  extreme stress events. Across countries, risk sensitivities and safe-haven status are associated with selffulfilling exchange rate expectations and carry trade funding currencies. In contrast, association with  more traditional macroeconomic country characteristics is weak.

Key words: exchange market pressure, risk aversion, safe haven, capital flows, exchange rates, foreign  exchange intervention, global financial cycle