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

Duasa, Jarita and Kassim, Salina (2009) Foreign portfolio investment and economic growth : an asymmetric cointegration approach. UNSPECIFIED. International Islamic University. (Unpublished)

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Abstract

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).

Item Type:	Monograph (UNSPECIFIED)
Additional Information:	/427
Uncontrolled Keywords:	Asymmetric cointegration; Foreign Portfolio Investment; Economic growth; Threshold autoregressive; Momentum-threshold autoregressive.
Subjects:	H Social Sciences > HB Economic Theory ?? HB1 ?? H Social Sciences > HG Finance > HG3810 Foreign exchange
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences
Depositing User:	Prof. Dr. Salina Kassim
Date Deposited:	17 Jun 2011 09:46
Last Modified:	19 May 2023 11:33
URI:	http://irep.iium.edu.my/id/eprint/427

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