Ananchotikul, Nasha; Zhang, Longmei - International Monetary Fund (IMF) - 2014
In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly … Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three … fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging …