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Download filePortfolio flows and the US dollar-yen exchange rate
journal contribution
posted on 2023-06-09, 09:05 authored by Faek Menla AliFaek Menla Ali, Fabio Spagnolo, Nicola SpagnoloThis paper investigates the effects of portfolio flows on the US dollar–Japanese yen exchange rate changes over the period 1988:01–2011:04. Using a time-varying transition probability Markov-switching framework, the results suggest that the impact of portfolio flows on the dollar–yen exchange rate changes is state-dependent. In particular, the results show that portfolio inflows from Japan toward the US, more than monetary variables, strengthen the probability of remaining in the dollar–yen appreciation (low volatility) state. Therefore, credit controls on the flows can be used as a policy tool to pursue economic and financial stability.
History
Publication status
- Published
File Version
- Accepted version
Journal
Empirical EconomicsISSN
0377-7332Publisher
Springer VerlagExternal DOI
Issue
1Volume
52Page range
179-189Department affiliated with
- Business and Management Publications
Full text available
- Yes
Peer reviewed?
- Yes