Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5103476 | Physica A: Statistical Mechanics and its Applications | 2017 | 8 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Ye Ning, Yiming Wang, Zhenyu Yang, Yan Geng,