Exchange Rate Uncertainty and International Portfolio Flows
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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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2264178