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Short-term impacts on exchange rates from portfolio flows to and from Denmark 1984-2004

Author

Listed:
  • Abildgren, Kim

    (Danmarks Nationalbank)

Abstract

The relationship between portfolio flows to and from Denmark and changes in the nominal krone rate vis-à-vis the euro (D-mark prior to 1999) over the period 1984-2004 is analysed. The paper finds a significant link from portfolio flows to shortterm exchange-rate movements. This result is robust to inclusion of central bank FX intervention and changes in the short-term interest-rate spread vis-à-vis the currency anchor as endogenous explanatory variables. Over time there has been a declining exchange-rate effect from portfolio flows, which might be a result of a gradually in - creased credibility of the Danish exchange-rate peg.

Suggested Citation

  • Abildgren, Kim, 2008. "Short-term impacts on exchange rates from portfolio flows to and from Denmark 1984-2004," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2008(1), pages 156-177.
    • Handle: RePEc:hhs:jdaecn:0106
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    More about this item

    Keywords

    exchange rates; Denmark;

    JEL classification:

    • A10 - General Economics and Teaching - - General Economics - - - General

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