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The asymmetric impacts of international portfolio flows on Australian dollar returns

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  • Jui-Chuan Della Chang
  • Kuang-Liang Chang

Abstract

This study investigates how equity portfolio flows affect the transition processes of exchange rate returns in Australia by employing a Markov-switching AR-GARCH-Jump model with time-varying transition probabilities. Three interesting findings are observed. Firstly, both GARCH and jump effects are totally different in the high-volatility and low-volatility states. Secondly, the net equity portfolio inflows increase exchange rate market fluctuations. Thirdly, the marginal effect of net equity flows is stronger in low-volatility state than in high-volatile state.

Suggested Citation

  • Jui-Chuan Della Chang & Kuang-Liang Chang, 2023. "The asymmetric impacts of international portfolio flows on Australian dollar returns," Applied Economics Letters, Taylor & Francis Journals, vol. 30(4), pages 478-483, February.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:4:p:478-483
    DOI: 10.1080/13504851.2021.1994123
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