International Capital Flows and Speculation

Rob Hayward, Andros Gregoriou

Research output: Contribution to journalArticlepeer-review


In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause changes in competitiveness. We report that speculation replaces the effect of equity, bond and most of the interest rate effect. The results show that international speculative sentiment is an important contributor to exchange rate and that monetary and regulatory authorities should find ways of measuring and understanding banking and financial flows.
Original languageEnglish
Article number197
JournalJournal of Risk and Financial Management
Issue number5
Publication statusPublished - 29 Apr 2021

Bibliographical note

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited


  • exchange rates
  • currency crisis
  • capital flow
  • VAR


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