Exchange rates and net portfolio flows: a Markov-switching approach

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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