Portfolio flows and the US dollar–yen exchange rate

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• 作者：Faek Menla Ali ; Fabio Spagnolo ; Nicola Spagnolo
• 关键词：Exchange rates ; Portfolio flows ; Regime ; switching
• 刊名：Empirical Economics
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：52
• 期：1
• 页码：179-189
• 全文大小：586KB
• 刊物主题：Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory/Quantitative Economics/Mathematical Methods;
• 出版者：Springer Berlin Heidelberg
• ISSN：1435-8921
• 卷排序：52

文摘

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.