Are International Fund Flows Related to Exchange Rate Dynamics?
Suxiao Li (),
Jakob de Haan () and
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Suxiao Li: Postdoctoral workstation, Industrial and Commercial Bank of China
Bert Scholtens: University of Groningen
Open Economies Review, 2018, vol. 29, issue 1, 31-48
Abstract Employing monthly data for 53 countries between 1996 and 2015, we investigate the relationship between international fund flows and exchange rate dynamics. We find strong co-movement between funds flows (as measured with the EPFR Global data base) and bilateral real exchange rates vis-à-vis the USD. This holds both for equity flows and bond flows. However, bond flows have a more significant relationship with RER appreciation than equity flows in developing countries, while in developed countries equity flows play a more important role. Under a more flexible exchange rate regime the real exchange rate appreciation associated with fund flows is higher.
Keywords: International fund flows; Exchange rates; Exchange rate regime; Dynamic panel data model (search for similar items in EconPapers)
JEL-codes: E44 F30 F31 G15 G23 (search for similar items in EconPapers)
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