Are international fund flows related to exchange rate dynamics?Li, S., de Haan, J. & Scholtens, B. 19-Oct-2017 In : Open Economies Review.
Research output: Scientific - peer-review › Article
Employing monthly data for 53 countries between 1996 and 2015, we investigate the relationship between international fund flows and exchange rate dynamics. We find strong co-movement between funds flows (as measured with the EPFR Global data base) and bilateral real exchange rates vis-à-vis the USD. This holds both for equity flows and bond flows. However, bond flows have a more significant relationship with RER appreciation than equity flows in developing countries, while in developed countries equity flows play a more important role. Under a more flexible exchange rate regime the real exchange rate appreciation associated with fund flows is higher.
|Journal||Open Economies Review|
|Early online date||19-Oct-2017|
|State||E-pub ahead of print - 19-Oct-2017|
- international fund flows, exchange rate regime, exchange rate, dynamic panel model