 Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging marketAhmet Sensoy and Süleyman Serdengeçti International Review of Financial Analysis, 2020, vol. 68, issue C Abstract: Motivated by the recent currency crisis in Turkey, we investigate the role of portfolio flows and heterogeneous expectations on the high frequency stochastic jump behavior of the US dollar value against the Turkish lira, one of the most traded emerging market currencies in the world. We group the detected jumps into different types with respect to their direction (up and down) and timing (local and off-shore trading hours). For each type of jumps, we examine their relation with portfolio flows (in the form of equity and bond flows, and carry trade activity), and dispersion in beliefs for the future exchange rate level and key macroeconomic variables. We find that inflows to both equity and bond markets, and increasing carry trade activity significantly reduce the size of jumps and (partially) their intensity. On the other hand, heterogeneous expectations for the future exchange rate level, consumer price index and gross domestic product are found to increase the number of jumps and the average jump size. Keywords: FX jump risk; High frequency analysis; Portfolio flows; Heterogeneous expectations; Emerging markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642 DOI: 10.1016/j.irfa.2019.101450 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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