Are International Fund Flows Related to Exchange Rate Dynamics?

Li, Suxiao; Haan, Jakob de; Scholtens, Bert

doi:10.1007/s11079-017-9469-5

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Evaluating the Macroeconomic Reasons And Effects Of Bond Flows: Pull And Push Factors1

Other Control Variables1

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2019

2024

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Cited by 4 publications

(2 citation statements)

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“…Furthermore, variations in exchange rates affect the returns of equity in Brazil and Russia. Li et al (2018) examines the international fund flows and the exchange rate dynamics by monthly data for 53 countries. In the result, they demonstrate that there is a solid co-movement between funds flows and bilateral real exchange rates concerning the US Dollar.…”

Section: Evaluating the Macroeconomic Reasons And Effects Of Bond Flows: Pull And Push Factorsmentioning

confidence: 99%

Determining the Interaction of the International Portfolio Flows with Exchange Rate Volatility in Developing Countries

Altunöz

2020

WJAE

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Section: Evaluating the Macroeconomic Reasons And Effects Of Bond Flows: Pull And Push Factorsmentioning

confidence: 99%

Determining the Interaction of the International Portfolio Flows with Exchange Rate Volatility in Developing Countries

Altunöz

2020

WJAE

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“…So, it is calculated from using 10-year government bond minus 3-month treasury bill for another control variable in my model. The weakening of Thai Baht against U.S. dollar can reduce fund flows out of Thailand as well (Li et al, 2018). Hence, we include a change in spot exchange rate of USD/THB which can be obtained from Bloomberg.…”

Section: Other Control Variablesmentioning

confidence: 99%

Inflation level and equity mutual fund flows in aggregate

Dangsritham

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This paper investigates the relationship of inflation level and aggregate equity mutual fund flows using Thai evidence. Sample period covered from 2006 to 2020. For the first objective, we investigate the relationship between realized inflation and net flow of money into equity mutual fund. Next, since investors are forward-looking, we extend the analysis to investigate the same relationship using forecasted inflation instead. Lastly, money supply is increasing since 2008 because of the first launch of QE. Also, inflation trend becomes lower since then. Our further exploration is whether there is a change in the relationship between inflation and aggregate equity mutual fund flow between pre-post 2008 period. We find a strongly negative relationship between equity flows and realized inflation. When inflation is high, economic stability will be worsened and nominal interest rate is going up. As a result, there are outflows from equity. However, the same relationship is not founded using inflation expectation. Net equity mutual fund flows tend to move with the realized inflation rather than the forecasted. Furthermore, our findings show that there is a significant amount of fund flows into equity mutual fund since 2008 onwards, but we cannot detect any significant change in the relationship between inflation and aggregate equity mutual fund flows.

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