An asymmetric cointegration approach of foreign portfolio investment-growth nexus

The present study attempts to analyze the long-run equilibrium relationship between foreign portfolio investment (FPI) and real Gross Domestic Product (GDP) by cointegration tests assuming asymmetric adjustment. Following Enders and Siklos (2001), the Engle-Granger two-step cointegration test is exp...

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Main Author:	Duasa, Jarita
Format:	Article
Language:	English
Published:	Serials Publications (New Delhi, India) 2011
Subjects:	HA154 Statistical data HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations
Online Access:	http://irep.iium.edu.my/31554/ http://irep.iium.edu.my/31554/ http://irep.iium.edu.my/31554/1/An_Asymmetric_Cointegration.pdf

id	iium-31554
recordtype	eprints
spelling	iium-315542013-09-11T06:03:49Z http://irep.iium.edu.my/31554/ An asymmetric cointegration approach of foreign portfolio investment-growth nexus Duasa, Jarita HA154 Statistical data HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations The present study attempts to analyze the long-run equilibrium relationship between foreign portfolio investment (FPI) and real Gross Domestic Product (GDP) by cointegration tests assuming asymmetric adjustment. Following Enders and Siklos (2001), the Engle-Granger two-step cointegration test is expanding to incorporate an asymmetric error correction term. It is found that there exists asymmetric cointegration between foreign portfolio investment inflow and real GDP, when momentum-threshold autoregressive (M-TAR) model is conducted. However, the asymmetric cointegration is not existence using threshold autoregressive (TAR) model. From estimation of M-TAR error-correction model, the adjustment back to equilibrium is more significant following relative decrease in real GDP (below long-run value). The results reflect the evidence of persistence low economic growth contributed by decrease in FPI inflow, in the case of Malaysia, as the real GDP adjustment to its long-run value is quite slow. The findings signify the use of capital controls by the authority during the 1997 Asian financial crisis to shield the country from the shock of FPI inflow and obviously, precautionary measures must be well-formed against any serious threat from inflows of short-term capital in the future. Serials Publications (New Delhi, India) 2011 Article PeerReviewed application/pdf en http://irep.iium.edu.my/31554/1/An_Asymmetric_Cointegration.pdf Duasa, Jarita (2011) An asymmetric cointegration approach of foreign portfolio investment-growth nexus. The Journal of World Economic Review, 6 (2). pp. 143-152. ISSN 0973-4368 http://www.serialspublications.com/journals1.asp?jid=388
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HA154 Statistical data HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations
spellingShingle	HA154 Statistical data HB131 Methodology.Mathematical economics. Quantitative methods HB3711 Business cycles. Economic fluctuations Duasa, Jarita An asymmetric cointegration approach of foreign portfolio investment-growth nexus
description	The present study attempts to analyze the long-run equilibrium relationship between foreign portfolio investment (FPI) and real Gross Domestic Product (GDP) by cointegration tests assuming asymmetric adjustment. Following Enders and Siklos (2001), the Engle-Granger two-step cointegration test is expanding to incorporate an asymmetric error correction term. It is found that there exists asymmetric cointegration between foreign portfolio investment inflow and real GDP, when momentum-threshold autoregressive (M-TAR) model is conducted. However, the asymmetric cointegration is not existence using threshold autoregressive (TAR) model. From estimation of M-TAR error-correction model, the adjustment back to equilibrium is more significant following relative decrease in real GDP (below long-run value). The results reflect the evidence of persistence low economic growth contributed by decrease in FPI inflow, in the case of Malaysia, as the real GDP adjustment to its long-run value is quite slow. The findings signify the use of capital controls by the authority during the 1997 Asian financial crisis to shield the country from the shock of FPI inflow and obviously, precautionary measures must be well-formed against any serious threat from inflows of short-term capital in the future.
format	Article
author	Duasa, Jarita
author_facet	Duasa, Jarita
author_sort	Duasa, Jarita
title	An asymmetric cointegration approach of foreign portfolio investment-growth nexus
title_short	An asymmetric cointegration approach of foreign portfolio investment-growth nexus
title_full	An asymmetric cointegration approach of foreign portfolio investment-growth nexus
title_fullStr	An asymmetric cointegration approach of foreign portfolio investment-growth nexus
title_full_unstemmed	An asymmetric cointegration approach of foreign portfolio investment-growth nexus
title_sort	asymmetric cointegration approach of foreign portfolio investment-growth nexus
publisher	Serials Publications (New Delhi, India)
publishDate	2011
url	http://irep.iium.edu.my/31554/ http://irep.iium.edu.my/31554/ http://irep.iium.edu.my/31554/1/An_Asymmetric_Cointegration.pdf
first_indexed	2023-09-18T20:45:45Z
last_indexed	2023-09-18T20:45:45Z
_version_	1777409662999592960

An asymmetric cointegration approach of foreign portfolio investment-growth nexus

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