Determining the Interaction of the International Portfolio Flows with Exchange Rate Volatility in Developing Countries
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Tarih
2020
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Yayıncı
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The aim of this study is to examine the effect of the bond portfolio and equity inflows\ron the exchange rate dynamics for a set of developing countries, including Turkey,\rHungary, New Zealand, India, Russia, Poland, Brazil and Argentina over the period\r1997:01-2017:12 by using a Markov-switching model. According to the analysis re-\rsults, the net bond inflows lead to an increase in the likelihood of a high volatility\rregime in Turkey and Russia and increases the probability of transition from the high\rvolatility regime to the low volatility regime in Hungary. Additionally, the net bond\rinflows from New Zealand and Poland to the United States (US) rise the possibility of\rremaining in the low volatility regime. The net equity inflows from Turkey and Poland\rto the US lead to a rise in the possibility of remaining in the high volatility regime.\rBesides, the net equity inflows from Brazil and Argentina to the US lead to a decline\rin the possibility of remaining in the low volatility state. In the light of the empir-\rical results supporting the “return chasing” hypothesis, this paper argues that credit\rcontrols on short-term financial inflows could be an effective means in stabilizing the\rforeign exchange market.
Açıklama
Anahtar Kelimeler
İktisat
Kaynak
World Journal of Applied Economics
WoS Q Değeri
Scopus Q Değeri
Cilt
6
Sayı
1
