An econometric essay for the asymmetric volatility content of the portfolio flows: EGARCH evidence from the Turkish economy

Levent Korap ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, the information content of the volatility observed on portfolio flows is tried to be econometrically examined for the Turkish economy. Our findings employing EGARCH estimation methodology reveal that the volatility shocks on the portfolio flows seem to be of a quite persistent form and that the news impact extracted from the model is asymmetric such that the conditional variance of the net portfolio flows reacts more to past negative shocks than to positive innovations of the equal size. Such a result has been attributed to that inside the period under investigation an unanticipated decrease in net portfolio flows would lead to a higher level of uncertainty when compared with the uncertainty resulted from an unanticipated increase and that policy makers ought to be prudent against the increasing uncertainties in the economy especially if large portfolio outflows are to be experienced.

Keywords: Portfolio Flows; Asymmetric Volatility; EGARCH Modeling; Turkish Economy (search for similar items in EconPapers)
JEL-codes: C22 F32 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in İstanbul Üniversitesi Sosyal Bilimler Meslek Yüksek Okulu Sosyal Bilimler Dergisi 4.2010(2010): pp. 103-109

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/28752/1/MPRA_paper_28752.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28752

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().