Portfolio flows and the US dollar-yen exchange rate

Menla Ali, Faek, Spagnolo, Fabio and Spagnolo, Nicola (2016) Portfolio flows and the US dollar-yen exchange rate. Empirical Economics, 52 (1). pp. 179-189. ISSN 0377-7332

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This paper investigates the effects of portfolio flows on the US dollar–Japanese yen exchange rate changes over the period 1988:01–2011:04. Using a time-varying transition probability Markov-switching framework, the results suggest that the impact of portfolio flows on the dollar–yen exchange rate changes is state-dependent. In particular, the results show that portfolio inflows from Japan toward the US, more than monetary variables, strengthen the probability of remaining in the dollar–yen appreciation (low volatility) state. Therefore, credit controls on the flows can be used as a policy tool to pursue economic and financial stability.

Item Type: Article
Schools and Departments: University of Sussex Business School > Business and Management
Depositing User: Joy Blake
Date Deposited: 07 Dec 2017 12:09
Last Modified: 02 Jul 2019 17:15
URI: http://sro.sussex.ac.uk/id/eprint/71710

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