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Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach

  • Faek Menla Ali
  • Fabio Spagnolo
  • Nicola Spagnolo
Chapter
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 209)

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.

Keywords

Exchange Rate Euro Area Akaike Information Criterion Exchange Rate Change High Regime 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  • Faek Menla Ali
    • 1
  • Fabio Spagnolo
    • 1
  • Nicola Spagnolo
    • 1
    • 2
  1. 1.Department of Economics and FinanceBrunel University LondonUxbridgeUK
  2. 2.Centre for Applied Macroeconomic Analysis (CAMA)CanberraAustralia

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