Menla Ali, Faek, Spagnolo, Fabio and Spagnolo, Nicola (2014) Exchange rates and net portfolio flows: a Markov-switching approach. In: Mamon, Rogemar S and Elliott, Robert J (eds.) Hidden Markov models in finance: further developments and applications, Vol II. International Series in Operations Research & Management Science, 209 . Springer, Boston, USA, pp. 117-132. ISBN 9781489974419
Full text not available from this repository.Abstract
In this paper we investigate the impact of net bond and equity portfolio flows on exchange rate changes. Two-state Markov-switching models are estimated for Canada, the euro area, Japan and the UK exchange rates vis-à-vis the US dollar. Our results suggest that the relationship between net portfolio flows and exchange rate changes is nonlinear for all currencies considered but Canada.
Item Type: | Book Section |
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Schools and Departments: | University of Sussex Business School > Business and Management |
Depositing User: | Joy Blake |
Date Deposited: | 07 Dec 2017 12:35 |
Last Modified: | 10 Jul 2019 16:00 |
URI: | http://sro.sussex.ac.uk/id/eprint/71885 |