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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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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/427/1/salina.pdf
http://irep.iium.edu.my/427/
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spelling my.iium.irep.4272023-05-19T03:33:04Z 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. UNSPECIFIED. International Islamic University. (Unpublished)
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
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/427/1/salina.pdf
http://irep.iium.edu.my/427/
_version_ 1768006345781411840
score 13.211869

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