Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/10302
Full metadata record
DC FieldValueLanguage
dc.contributor.authorCaporale, GM-
dc.contributor.authorMenla Ali, F-
dc.contributor.authorSpagnolo, N-
dc.date.accessioned2015-02-27T15:18:56Z-
dc.date.available2015-02-27T15:18:56Z-
dc.date.issued2015-
dc.identifier.citationJournal of International Money and Finance: Theoretical and Empirical Research in International Economics and Financeen_US
dc.identifier.issn0261-5606-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/10302-
dc.description.abstractThis paper examines the impact of exchange rate uncertainty on different components of net portfolio flows, namely net equity and net bond flows, as well as their dynamic linkages. Specifically, a bivariate VAR GARCH-BEKK-in-mean model is estimated using bilateral monthly data for the US vis-à-vis Australia, Canada, the euro area, Japan, Sweden, and the UK over the period 1988:01-2011:12. The results indicate that the effect of exchange rate uncertainty on net equity flows is negative in the euro area, the UK and Sweden, and positive in Australia. The impact on net bond flows is also negative in all countries except Canada, where it is positive. Under the assumption of risk aversion, the findings suggest that exchange rate uncertainty induces a home bias and causes investors to reduce their financial activities to maximise returns and minimise exposure to uncertainty, this effect being stronger in the UK, the euro area and Sweden compared to Canada, Australia and Japan. Overall, the results indicate that exchange rate or credit controls on these flows can be used as a policy tool in countries with strong uncertainty effects to pursue economic and financial stability. Keywords:en_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectExchange rate uncertaintyen_US
dc.subjectEquity flowsen_US
dc.subjectBond flowsen_US
dc.subjectCausality-in-varianceen_US
dc.titleExchange rate uncertainty and international portfolio flowsen_US
dc.typeArticleen_US
dc.relation.isPartOfJournal of International Money and Finance: theoretical and empirical research in international economics and finance-
dc.relation.isPartOfJournal of International Money and Finance: theoretical and empirical research in international economics and finance-
pubs.organisational-data/Brunel-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance-
pubs.organisational-data/Brunel/University Research Centres and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies-
Appears in Collections:Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
Fulltext.pdfFile is embargoed until 25/02/2018456.15 kBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.