The Dynamics of Foreign Portfolio Investment and Exchange Rates: An Interconnection Approach in ASEAN

Abstract

This paper examines the spatial dependence of foreign portfolio investment (FPI) inflows among ASEAN countries in 2002Q1-2018Q4 utilizing the spatial econometric approach. This paper adds clarity to the identification of the true nature of portfolio investment performances. I show a competitive relationship among ASEAN countries, indicating crowding out of FPI in the host country is most likely to occur when the neighboring country is experiencing a crowding out. I also show that exchange rate volatility and changes, both in the host country and neighboring country, do not significantly affect FPI in the host country. Furthermore, I find that, aside from macroeconomic factors of the host country, foreign investors also consider the macroeconomic conditions in the neighboring country, suggesting the existence of spatial dependency. Robustness checks are conducted to confirm the main findings of this study.

Keywords: Foreign Portfolio Investments, Exchange Rates, Spatial Panel Econometrics, Spillover Effects

Yabanc? Portföy Yat?r?mlar? ve Döviz Kurlar? Aras?ndaki Dinamikler: ASEAN Ülkeleri Aras?nda Ba?lant?l? Bir Yakla??m

Özet

Bu makale, ASEAN ülkeleri (Güneydo?u Asya Ülkeleri Birli?i) aras?ndaki yabanc? portföy yat?r?m? (FPI) ak?mlar?n?n mekansal ba??ml?l???n? 2002Q1-2018Q4 dönemi için mekansal ekonometri yakla??m? kullanarak incelemektedir. Bu makale, portföy yat?r?m? performanslar?n?n gerçek yüzünün daha aç?k tan?mlanmas?na katk? sa?lamaktad?r. ASEAN ülkeleri aras?nda bir rekabet ili?kisi bulundu?unu gösteriyorum, ki bu rekabet ?u anlama gelir, kom?u ülkede bir kalabal?kla?t?rarak kovulma etkisi sözkonusu olmu?sa büyük ihtimalle evsahibi ülkedeki yabanc? portföy yat?r?mlar? da kalabal?kla?t?rarak kovulma etkisine tabii olacakt?r. ?laveten, gerek evsahibi ülkedeki gerekse kom?u ülkedeki döviz kuru oynakl???n?n ve de?i?imlerinin, evsahibi ülkedeki yabanc? portföy yat?r?mlar?n? önemli bir ölçüde etkilemedi?ini gösteriyorum. Ayr?ca, yabanc? yat?r?mc?lar?n, evsahibi ülkedeki makroekonomik etkenlerin yan?s?ra, kom?u ülkedeki makroekonomik ?artlar? da gözönüne almakta olduklar?n? saptad?m, bu da bir mekansal ba??ml?l?k ili?kisinin mevcut oldu?una i?aret eder. Bu çal??man?n temel bulgular?n?n do?rulu?unu belirlemek üzere ekonometrik sa?laml?k kontrolleri yap?lm???r.

Anahtar kelimeler: Yabanc? Portföy Yat?r?mlar?, Döviz Kurlar?, Mekansal Panel Veri Ekonometri, Yay?lma Etkileri

Dr. Ferry Syarifuddin (Bank Indonesia, Jakarta, Indonesia)
0000-0002-8172-8276  ferry.s@bi.go.id

Submitted on: 2022-04-18 Accepted on: 2022-07-08

Year:2022 - Volume:1 Issue:2 Pages: 1-12

DOI: https://doi.org/10.36880/J01.2.0113

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APA style citation: Syarifuddin, F. (2022). The Dynamics of Foreign Portfolio Investment and Exchange Rates: An Interconnection Approach in ASEAN. Journal of Eurasian Economies, 1(2), 1-12.

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