Are international fund flows related to exchange rate dynamics?
Abstract
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.
Citation
Li , S , de Haan , J & Scholtens , B 2018 , ' Are international fund flows related to exchange rate dynamics? ' Open Economies Review , vol 29 , no. 1 , pp. 31-48 . DOI: 10.1007/s11079-017-9469-5
Publication
Open Economies Review
Status
Peer reviewed
ISSN
0923-7992Type
Journal article
Rights
© The Author(s) 2017. Open Access. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Description
This research is supported by the National Natural Science Foundation of China (NSFC Grant Numbers: 71273257, 71532013, 71703182).Collections
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