The dynamic relation between foreign exchange rates and international portfolio flows: Evidence from Africa's capital markets

Odongo Kodongo; Kalu Ojah

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The dynamic relation between foreign exchange rates and international portfolio flows: Evidence from Africa's capital markets

机译：汇率与国际证券投资流量之间的动态关系：来自非洲资本市场的证据

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We examine the nexus between real foreign exchange rates and international portfolio flows using monthly data for the period 1997:1 to 2009:12 for Egypt, Morocco, Nigeria, and South Africa. We analyze the full sample period and two sub-periods, distinguished by the relative volume and volatility of portfolio flows. We find international portfolio flows, in Africa, to be non-persistent and relatively volatile. Granger causality tests and innovation accounting from vector autoregressions show that the dynamic relationship between portfolio flows and foreign exchange rates is both country-dependent and time-varying; and these findings are robust to alternative VAR specifications.

机译：我们使用埃及，摩洛哥，尼日利亚和南非的1997：1至2009：12期间的月度数据来检验实际汇率与国际证券投资流量之间的关系。我们分析了整个样本时期和两个子时期，以投资组合流的相对数量和波动性来区分。我们发现非洲的国际证券投资流是非持久性的，并且相对不稳定。向量自回归的格兰杰因果关系检验和创新核算表明，投资组合流量与汇率之间的动态关系既取决于国家又随时间变化。这些发现对替代VAR规范具有鲁棒性。

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来源
《International Review of Economics and Finance》 |2012年第2012期|p.71-87|共17页
作者
Odongo Kodongo; Kalu Ojah;
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作者单位

Department of Economics and Business Studies, Jomo Kenyatta University of Agriculture and Technology, P.O. Box 62000 City Square, Nairobi 00200, Kenya;

Graduate School of Business Administration, University of the Witwatersrand, Private Bag 98 Wits, Johannesburg 2050, South Africa;

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正文语种 eng
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关键词
Real exchange rates; Net portfolio inflows; Africa's capital markets;

机译：实际汇率;投资组合净流入;非洲的资本市场;

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机译：外汇风险和国际证券投资资金流动：来自非洲资本市场的证据

The dynamic relation between foreign exchange rates and international portfolio flows: Evidence from Africa's capital markets

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