Foreign portfolio investment and economic growth : an asymmetric cointegration approach.

Foreign portfolio investment and economic growth : an asymmetric cointegration approach.

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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Bibliographic Details
Main Authors: Duasa, Jarita, Kassim, Salina
Format: Monograph
Language:English
Published: International Islamic University 2009
Subjects:
HB Economic Theory
HG3810 Foreign exchange
Online Access:http://irep.iium.edu.my/427/
http://irep.iium.edu.my/427/1/salina.pdf
id iium-427
recordtype eprints
spelling iium-4272011-09-07T10:44:47Z http://irep.iium.edu.my/427/ Foreign portfolio investment and economic growth : an asymmetric cointegration approach. Duasa, Jarita Kassim, Salina HB Economic Theory HG3810 Foreign exchange 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 net foreign portfolio investment 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 increase in FPI (above long-run value). However, the adjustment is diverted from equilibrium following relative decrease in FPI (below long-run value). International Islamic University 2009 Monograph NonPeerReviewed application/pdf en http://irep.iium.edu.my/427/1/salina.pdf Duasa, Jarita and Kassim, Salina (2009) Foreign portfolio investment and economic growth : an asymmetric cointegration approach. Working Paper. International Islamic University. (Unpublished)
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HB Economic Theory
HG3810 Foreign exchange
spellingShingle HB Economic Theory
HG3810 Foreign exchange
Duasa, Jarita
Kassim, Salina
Foreign portfolio investment and economic growth : an asymmetric cointegration approach.
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 net foreign portfolio investment 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 increase in FPI (above long-run value). However, the adjustment is diverted from equilibrium following relative decrease in FPI (below long-run value).
format Monograph
author Duasa, Jarita
Kassim, Salina
author_facet Duasa, Jarita
Kassim, Salina
author_sort Duasa, Jarita
title Foreign portfolio investment and economic growth : an asymmetric cointegration approach.
title_short Foreign portfolio investment and economic growth : an asymmetric cointegration approach.
title_full Foreign portfolio investment and economic growth : an asymmetric cointegration approach.
title_fullStr Foreign portfolio investment and economic growth : an asymmetric cointegration approach.
title_full_unstemmed Foreign portfolio investment and economic growth : an asymmetric cointegration approach.
title_sort foreign portfolio investment and economic growth : an asymmetric cointegration approach.
publisher International Islamic University
publishDate 2009
url http://irep.iium.edu.my/427/
http://irep.iium.edu.my/427/1/salina.pdf
first_indexed 2023-09-18T20:07:33Z
last_indexed 2023-09-18T20:07:33Z
_version_ 1777407259943370752

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