Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239613 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 5 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-12
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
capital flow
currency crisis
exchange rates
VAR
JEL: 
C32
F31
F32
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size
518.12 kB





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