Impact of an unexplained component of real exchange rate volatility on FDI: Evidence from transition countries

被引：9
作者：
Balaban, Suzana [1 ]
Zivkov, Dejan [2 ]
Milenkovic, Ivan [3 ]
机构：
[1] Univ Novi Sad, Fac Econ Subotica, Stevana Hatale 12, Backa Palanka 21400, Serbia
[2] Univ Novi Sad, Novi Sad Sch Business, Vladimira Perica Valtera 4, Novi Sad 21000, Serbia
[3] Univ Novi Sad, Fac Econ Subotica, Segedinski Put 9-11, Subotica 24000, Serbia
来源：
ECONOMIC SYSTEMS | 2019年 / 43卷 / 3-4期
关键词：
Exchange rate volatility; GARCH; FDI; Transition countries; SYS-GMM; FOREIGN DIRECT-INVESTMENT; RATE VARIABILITY; UNITED-STATES; DETERMINANTS; REGIMES;
D O I：
10.1016/j.ecosys.2019.100719
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The aim of this paper is to examine the impact of an unexplained component of real exchange rate volatility on FDI in transition economies. We make an attempt to overcome some problems associated with previous studies; the aggregation problem, inadequate measures of volatility, short-run focus and the endogeneity problem. Using a GARCH specification, we focus on long-run volatility, while we control for the endogeneity problem by applying SYS-GMM estimation. The obtained results show that the impact of the unexplained component of real exchange rate volatility on FDI differs among economic activities since 2000. As part of the re-estimation exercise, we use two alternative measures of volatility to avoid arbitrariness. The obtained results are to a large extent in accordance with the first one.
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页数：14
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