Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14365/1780
Title: Revisiting Portfolio Flows - Exchange Rate Nexus in Emerging Markets: a Markov Regime Switching Mgarch Approach
Authors: Aydogan, Berna
Vardar, Gulin
Yelkenci, Tezer
Keywords: International Portfolio Flows
exchange rate uncertainty
Markov Switching Regime Shifts
nonlinear dependence
CCC GARCH
Home Bias
Capital Flows
Investment
Model
Diversification
Segmentation
Preference
Returns
Prices
Dollar
Publisher: Routledge Journals, Taylor & Francis Ltd
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.
URI: https://doi.org/10.1080/17520843.2020.1814376
https://hdl.handle.net/20.500.14365/1780
ISSN: 1752-0843
1752-0851
Appears in Collections:Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

Files in This Item:
File SizeFormat 
1780.pdf
  Restricted Access
2.11 MBAdobe PDFView/Open    Request a copy
Show full item record



CORE Recommender

SCOPUSTM   
Citations

1
checked on Dec 18, 2024

Page view(s)

62
checked on Dec 16, 2024

Download(s)

6
checked on Dec 16, 2024

Google ScholarTM

Check




Altmetric


Items in GCRIS Repository are protected by copyright, with all rights reserved, unless otherwise indicated.