Korap, Levent (2010): An econometric essay for the asymmetric volatility content of the portfolio flows: EGARCH evidence from the Turkish economy. Published in: İstanbul Üniversitesi Sosyal Bilimler Meslek Yüksek Okulu Sosyal Bilimler Dergisi , Vol. 2010, No. 4 (2010): pp. 103-109.
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In this paper, the information content of the volatility observed on portfolio flows is tried to be econometrically examined for the Turkish economy. Our findings employing EGARCH estimation methodology reveal that the volatility shocks on the portfolio flows seem to be of a quite persistent form and that the news impact extracted from the model is asymmetric such that the conditional variance of the net portfolio flows reacts more to past negative shocks than to positive innovations of the equal size. Such a result has been attributed to that inside the period under investigation an unanticipated decrease in net portfolio flows would lead to a higher level of uncertainty when compared with the uncertainty resulted from an unanticipated increase and that policy makers ought to be prudent against the increasing uncertainties in the economy especially if large portfolio outflows are to be experienced.
|Item Type:||MPRA Paper|
|Original Title:||An econometric essay for the asymmetric volatility content of the portfolio flows: EGARCH evidence from the Turkish economy|
|English Title:||An econometric essay for the asymmetric volatility content of the portfolio flows: EGARCH evidence from the Turkish economy|
|Keywords:||Portfolio Flows; Asymmetric Volatility; EGARCH Modeling; Turkish Economy;|
|Subjects:||F - International Economics > F3 - International Finance > F32 - Current Account Adjustment; Short-Term Capital Movements
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Levent Korap|
|Date Deposited:||09. Feb 2011 19:43|
|Last Modified:||14. Feb 2013 16:44|
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