Valuation effects of capital inflows: Evidence from emerging market economies

被引:0
|
作者
Dieu Thanh Le [1 ]
Park, Hail [2 ]
机构
[1] Embassy Republ Korea, Econ Div, Hanoi, Vietnam
[2] Kyung Hee Univ, Dept Int Business & Trade, 26 Kyungheedae Ro, Seoul, South Korea
来源
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 51卷
关键词
Valuation changes; Capital inflows; Exchange rate movements; Panel smooth transition regression;
D O I
10.1016/j.najef.2019.101092
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper studies valuation changes of capital inflows in 19 emerging market economies (EMEs). In most of the EMEs, we find that there are significant valuation changes and a positive rate of return on external liabilities by foreigners. Furthermore, the nonlinear effects of exchange rate movements on valuation changes are investigated using panel smooth transition regression models. Empirical results show that the transition is centered at approximately -22.3% of exchange rate change, which implies that when the exchange rate appreciates more than this level, foreign investment value gains increase considerably.
引用
收藏
页数:11
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