The asymmetric impacts of international portfolio flows on Australian dollar returns

Jui-Chuan Della Chang and Kuang-Liang Chang

Applied Economics Letters, 2023, vol. 30, issue 4, 478-483

Abstract: This study investigates how equity portfolio flows affect the transition processes of exchange rate returns in Australia by employing a Markov-switching AR-GARCH-Jump model with time-varying transition probabilities. Three interesting findings are observed. Firstly, both GARCH and jump effects are totally different in the high-volatility and low-volatility states. Secondly, the net equity portfolio inflows increase exchange rate market fluctuations. Thirdly, the marginal effect of net equity flows is stronger in low-volatility state than in high-volatile state.

Date: 2023
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DOI: 10.1080/13504851.2021.1994123

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