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

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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
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

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