Measurement and multifractal properties of short-term international capital flows in China

The paper measures monthly short-term international capital flows during Jan. 2000 to Jul. 2015 in China. It is shown that, since mid-2014 the amount of short-term international capital outflows in China has increased rapidly, reaching the historical peak at 65.8 billion dollars per month in July, 2015. By conducting multifractal analysis with MF-DFA method, it is proved that China's short-term international capital flows exhibit significant non-linear multifractal properties. Further study indicates that the long-range correlations and fat-tailed distribution both contribute to the multifractal properties, while the former is the main reason. The non-linearity of capital flows calls for non-linear tools instead of conventional linear tools to further study features of China's short-term international capital flows or to build early warning system of international capital flow risks. The paper measures monthly short-term international capital flows during Jan. 2000 to Jul. 2015 in China. It is shown that, since mid-2014 the amount of short-term international capital outflows in China has increased rapidly, reaching the historical peak at 65.8 billion dollars per month in July, 2015. By conducting multifractal analysis with MF-DFA method, it is proved that China's short-term international capital flows exhibit significant non-linear multifractal properties. Further study indicates that the long-range correlations and fat-tailed distribution both contribute to the multifractal properties, while the former is the main reason. The non-linearity of capital flows calls for non-linear tools instead of conventional linear tools to further study features of China's short-term international capital flows or to build early warning system of international capital flow risks.