Artikel
International capital flows and speculation
In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause changes in competitiveness. We report that speculation replaces the effect of equity, bond and most of the interest rate effect. The results show that international speculative sentiment is an important contributor to exchange rate and that monetary and regulatory authorities should find ways of measuring and understanding banking and financial flows.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 5 ; Pages: 1-12 ; Basel: MDPI
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Foreign Exchange
Current Account Adjustment; Short-term Capital Movements
International Financial Markets
- Subject
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capital flow
currency crisis
exchange rates
VAR
- Event
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Geistige Schöpfung
- (who)
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Hayward, Rob
Gregoriou, Andros
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2021
- DOI
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doi:10.3390/jrfm14050197
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Hayward, Rob
- Gregoriou, Andros
- MDPI
Time of origin
- 2021
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