Portfolio flows and the US dollar–yen exchange rate
Faek Menla Ali,
Fabio Spagnolo and
Additional contact information
Fabio Spagnolo: Brunel University London
Empirical Economics, 2017, vol. 52, issue 1, 179-189
Abstract This 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.
Keywords: Exchange rates; Portfolio flows; Regime-switching (search for similar items in EconPapers)
JEL-codes: F31 F32 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s00181-016-1075-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1075-7
Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2
Access Statistics for this article
Empirical Economics is currently edited by Robert M. Kunst, Badi H. Baltagi, Bertrand Candelon, Subal C. Kumbhakar and Michael Lechner
More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().