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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. Working Paper. 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 (Unpublished)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 (Working Paper)
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: Dr Salina Kassim
Date Deposited: 17 Jun 2011 09:46
Last Modified: 07 Sep 2011 18:44
URI: http://irep.iium.edu.my/id/eprint/427

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