Revisiting Portfolio Flows - Exchange Rate Nexus in Emerging Markets: a Markov Regime Switching Mgarch Approach
| dc.contributor.author | Aydogan, Berna | |
| dc.contributor.author | Vardar, Gulin | |
| dc.contributor.author | Yelkenci, Tezer | |
| dc.date.accessioned | 2023-06-16T14:24:54Z | |
| dc.date.available | 2023-06-16T14:24:54Z | |
| dc.date.issued | 2021 | |
| dc.description.abstract | This paper focuses on the role of exchange rate uncertainty on the net portfolio flows using a bilateral monthly data for the US vis-a-vis six emerging countries (E-6) (India, Brazil, Mexico, Russia, Indonesia and Turkey) over the period 1993:01-2017:12. Employing Markov Regime Switching CCC GARCH model, the results suggest that exchange rate volatility affects both net bond and net equity flows for whole sample. The correlation evidence between net portfolio flows and exchange rate uncertainty is stronger in the cases of Brazil and Mexico, in terms of supporting these countries' bond and equity home bias in high volatility regime. | en_US |
| dc.identifier.doi | 10.1080/17520843.2020.1814376 | |
| dc.identifier.issn | 1752-0843 | |
| dc.identifier.issn | 1752-0851 | |
| dc.identifier.scopus | 2-s2.0-85090138645 | |
| dc.identifier.uri | https://doi.org/10.1080/17520843.2020.1814376 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14365/1780 | |
| dc.language.iso | en | en_US |
| dc.publisher | Routledge Journals, Taylor & Francis Ltd | en_US |
| dc.relation.ispartof | Macroeconomıcs And Fınance in Emergıng Market Economıes | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | International Portfolio Flows | en_US |
| dc.subject | exchange rate uncertainty | en_US |
| dc.subject | Markov Switching Regime Shifts | en_US |
| dc.subject | nonlinear dependence | en_US |
| dc.subject | CCC GARCH | en_US |
| dc.subject | Home Bias | en_US |
| dc.subject | Capital Flows | en_US |
| dc.subject | Investment | en_US |
| dc.subject | Model | en_US |
| dc.subject | Diversification | en_US |
| dc.subject | Segmentation | en_US |
| dc.subject | Preference | en_US |
| dc.subject | Returns | en_US |
| dc.subject | Prices | en_US |
| dc.subject | Dollar | en_US |
| dc.title | Revisiting Portfolio Flows - Exchange Rate Nexus in Emerging Markets: a Markov Regime Switching Mgarch Approach | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
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| gdc.description.department | İzmir Ekonomi Üniversitesi | en_US |
| gdc.description.departmenttemp | [Aydogan, Berna; Vardar, Gulin] Izmir Univ Econ, Dept Int Trade & Finance, Izmir, Turkey; [Yelkenci, Tezer] Nora Int Forwarding Co Ltd, Investments, Izmir, Turkey | en_US |
| gdc.description.endpage | 240 | en_US |
| gdc.description.issue | 3 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q2 | |
| gdc.description.startpage | 219 | en_US |
| gdc.description.volume | 14 | en_US |
| gdc.description.wosquality | Q3 | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
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| gdc.virtual.author | Vardar, Gülin | |
| gdc.virtual.author | Aydoğan, Berna | |
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