University of Sussex
Browse
1-s2.0-S0261560617300529-main.pdf (2.34 MB)

International portfolio flows and exchange rate volatility in emerging Asian markets

Download (2.34 MB)
journal contribution
posted on 2023-06-09, 09:07 authored by Guglielmo Maria Caporale, Faek Menla AliFaek Menla Ali, Fabio Spagnolo, Nicola Spagnolo
This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility using monthly bilateral data for the US vis-a-vis seven Asian developing and emerging countries (India, Indonesia, Pakistan, the Philippines, South Korea, Taiwan and Thailand) over the period 1993:01-2015:11. GARCH models and Markov switching specifications with time-varying transition probabilities are estimated in addition to a benchmark linear model. The evidence suggests that high (low) exchange rate volatility is associated with equity (bond) inflows from the Asian countries toward the US in all cases, with the exception of the Philippines. Therefore, capital controls could be an effective tool to stabilise the foreign exchange market in countries where flows affect exchange rate volatility.

History

Publication status

  • Published

File Version

  • Published version

Journal

Journal of International Money and Finance

ISSN

0261-5606

Publisher

Elsevier

Volume

76

Page range

1-15

Department affiliated with

  • Business and Management Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2017-12-07

First Open Access (FOA) Date

2017-12-07

First Compliant Deposit (FCD) Date

2017-12-07

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Licence

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC