Journal of Eurasian Economies

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,

Yabancı Portföy Yatırımları ve Döviz Kurları Arasındaki Dinamikler: ASEAN Ülkeleri Arasında Bağlantılı Bir Yaklaşım

Özet

Bu makale, ASEAN ülkeleri (Güneydoğu Asya Ülkeleri Birliği) arasındaki yabancı portföy yatırımı (FPI) akımlarının mekansal bağımlılığını 2002Q1-2018Q4 dönemi için mekansal ekonometri yaklaşımı kullanarak incelemektedir. Bu makale, portföy yatırımı performanslarının gerçek yüzünün daha açık tanımlanmasına katkı sağlamaktadır. ASEAN ülkeleri arasında bir rekabet ilişkisi bulunduğunu gösteriyorum, ki bu rekabet şu anlama gelir, komşu ülkede bir kalabalıklaştırarak kovulma etkisi sözkonusu olmuşsa büyük ihtimalle evsahibi ülkedeki yabancı portföy yatırımları da kalabalıklaştırarak kovulma etkisine tabii olacaktır. İlaveten, gerek evsahibi ülkedeki gerekse komşu ülkedeki döviz kuru oynaklığının ve değişimlerinin, evsahibi ülkedeki yabancı portföy yatırımlarını önemli bir ölçüde etkilemediğini gösteriyorum. Ayrıca, yabancı yatırımcıların, evsahibi ülkedeki makroekonomik etkenlerin yanısıra, komşu ülkedeki makroekonomik şartları da gözönüne almakta olduklarını saptadım, bu da bir mekansal bağımlılık ilişkisinin mevcut olduğuna işaret eder. Bu çalışmanın temel bulgularının doğruluğunu belirlemek üzere ekonometrik sağlamlık kontrolleri yapılmışır.

Anahtar kelimeler: Yabancı Portföy Yatırımları, Döviz Kurları, Mekansal Panel Veri Ekonometri, Yayılma 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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