Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach
نویسندگان
چکیده
منابع مشابه
Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach
This paper examines the impact of exchange rate uncertainty on different components of net portfolio flows, namely net equity and net bond flows, as well as their dynamic linkages. Specifically, a bivariate VAR GARCH-BEKK-in-mean model is estimated using bilateral monthly data for the US visa-vis Australia, Canada, the euro area, Japan, Sweden, and the UK over the period 1988:012011:12. The res...
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http://dx.doi.org/10.1016/j.jimonfin.2017.03.002 0261-5606/ 2017 The Author(s). Published by Elsevier Ltd. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). q We would like to thank the editor (K.G. Koedijk), an anonymous referee and O. Cassero for very useful comments and suggestions. ⇑ Corresponding author at: Department of Economics and Fin...
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ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 2015
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2015.02.020