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Exchange rates and net portfolio flows: a Markov-switching approach
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posted on 2023-06-09, 09:14 authored by Faek Menla AliFaek Menla Ali, Fabio Spagnolo, Nicola SpagnoloIn 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.
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Publication status
- Published
Publisher
SpringerExternal DOI
Volume
209Page range
117-132Pages
261.0Book title
Hidden Markov models in finance: further developments and applications, Vol IIPlace of publication
Boston, USAISBN
9781489974419Series
International Series in Operations Research & Management ScienceDepartment affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Editors
Robert J Elliott, Rogemar S MamonLegacy Posted Date
2017-12-07Usage metrics
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