haku: @indexterm currency markets / yhteensä: 142
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| Tekijä: | Foley, A. J. |
| Otsikko: | Regime switching in currency markets and portfolio flows |
| Lehti: | Journal of Asset Management
2002 : MAR, VOL. 2:4, p. 353-367 |
| Asiasana: | CURRENCY CURRENCY MARKETS ASSETS |
| Kieli: | eng |
| Tiivistelmä: | This paper analyses a three-state Markov switching model with time-varying transition probabilities. The transition probabilities are modelled as functions of portfolio flows at a daily frequency. The evidence supports the hypothesis that currency market behaviour is characterised by regimes and that the probability of staying in a regime is materially impacted by portfolio flows. This suggests that timely knowledge of portfolio flows should be useful information for market participants attempting to add value via active currency trading. |
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