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...
| Main Authors: | , |
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| Format: | Monograph |
| Language: | English |
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International Islamic University
2009
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| Online Access: | http://irep.iium.edu.my/427/1/salina.pdf |
| _version_ | 1825644058254508032 |
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| author | Duasa, Jarita Kassim, Salina |
| author_facet | Duasa, Jarita Kassim, Salina |
| author_sort | Duasa, Jarita |
| collection | IIUM |
| 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). |
| first_indexed | 2024-03-05T22:27:42Z |
| format | Monograph |
| id | oai:generic.eprints.org:427 |
| institution | International Islamic University Malaysia |
| language | English |
| last_indexed | 2024-03-05T22:27:42Z |
| publishDate | 2009 |
| publisher | International Islamic University |
| record_format | dspace |
| spelling | oai:generic.eprints.org: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) |
| spellingShingle | HB Economic Theory HG3810 Foreign exchange Duasa, Jarita Kassim, Salina Foreign portfolio investment and economic growth : an asymmetric cointegration approach. |
| title | 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_short | Foreign portfolio investment and economic growth : an asymmetric cointegration approach. |
| title_sort | foreign portfolio investment and economic growth an asymmetric cointegration approach |
| topic | HB Economic Theory HG3810 Foreign exchange |
| url | http://irep.iium.edu.my/427/1/salina.pdf |
| work_keys_str_mv | AT duasajarita foreignportfolioinvestmentandeconomicgrowthanasymmetriccointegrationapproach AT kassimsalina foreignportfolioinvestmentandeconomicgrowthanasymmetriccointegrationapproach |