The Impact of Exchange Rate Volatility on Foreign Direct Investment
This study investigates the impact of exchange rate volatility on the level of foreign direct investment inflows in the Unites States of America, the United Kingdom, Canada and Japan, using annual data starting from 1975 to 2011. Exchange rate volatility has been measured using four different method...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/25825/ |
| _version_ | 1848793062609780736 |
|---|---|
| author | BUSE, Oana Bianca |
| author_facet | BUSE, Oana Bianca |
| author_sort | BUSE, Oana Bianca |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This study investigates the impact of exchange rate volatility on the level of foreign direct
investment inflows in the Unites States of America, the United Kingdom, Canada and Japan, using
annual data starting from 1975 to 2011. Exchange rate volatility has been measured using four
different methods: a classic standard deviation, a moving mean difference value of the exchange
rate fluctuations, a moving average standard deviation with a 3-year window and, finally, using a
GARCH(1,1) model. The data was accounted for serial correlation, nonstationarity and cointegration
and the relationship between inward FDI flows (expressed as a percentage of GDP for each country)
and exchange rate volatility has been analyzed using OLS regressions and a panel data model, as well
as an error correction model to investigate the existence of a short-term relationship between the
two variables. While OLS estimates have shown that FDI inflows in three out of the four countries
analyzed are influenced by exchange rate volatility, no evident link between the two variables has
been found in the panel data analysis. In general, the mixed results obtained are proof that the
existence of a relationship between FDI inflows and exchange rate volatility varies across countries
and between different econometric models employed. |
| first_indexed | 2025-11-14T18:54:20Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25825 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:54:20Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-258252017-10-19T14:20:14Z https://eprints.nottingham.ac.uk/25825/ The Impact of Exchange Rate Volatility on Foreign Direct Investment BUSE, Oana Bianca This study investigates the impact of exchange rate volatility on the level of foreign direct investment inflows in the Unites States of America, the United Kingdom, Canada and Japan, using annual data starting from 1975 to 2011. Exchange rate volatility has been measured using four different methods: a classic standard deviation, a moving mean difference value of the exchange rate fluctuations, a moving average standard deviation with a 3-year window and, finally, using a GARCH(1,1) model. The data was accounted for serial correlation, nonstationarity and cointegration and the relationship between inward FDI flows (expressed as a percentage of GDP for each country) and exchange rate volatility has been analyzed using OLS regressions and a panel data model, as well as an error correction model to investigate the existence of a short-term relationship between the two variables. While OLS estimates have shown that FDI inflows in three out of the four countries analyzed are influenced by exchange rate volatility, no evident link between the two variables has been found in the panel data analysis. In general, the mixed results obtained are proof that the existence of a relationship between FDI inflows and exchange rate volatility varies across countries and between different econometric models employed. 2012-09-19 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25825/1/Dissertation_Oana_Bianca_BUSE.pdf BUSE, Oana Bianca (2012) The Impact of Exchange Rate Volatility on Foreign Direct Investment. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | BUSE, Oana Bianca The Impact of Exchange Rate Volatility on Foreign Direct Investment |
| title | The Impact of Exchange Rate Volatility on Foreign Direct Investment |
| title_full | The Impact of Exchange Rate Volatility on Foreign Direct Investment |
| title_fullStr | The Impact of Exchange Rate Volatility on Foreign Direct Investment |
| title_full_unstemmed | The Impact of Exchange Rate Volatility on Foreign Direct Investment |
| title_short | The Impact of Exchange Rate Volatility on Foreign Direct Investment |
| title_sort | impact of exchange rate volatility on foreign direct investment |
| url | https://eprints.nottingham.ac.uk/25825/ |