Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7373878 | The North American Journal of Economics and Finance | 2018 | 11 Pages |
Abstract
In this paper, we analyze the dynamics of short-term international capital flows in China using time-varying transition probability Markov switching models. We provide empirical evidence that exchange rates may prove to be useful information variables for detecting the states of inflow or outflow. Moreover, the short-term international capital of “currency arbitrage” has high speculations. In addition, the results show that inflows and outflows last about 25â¯months and 4â¯months, respectively, and after 2007, inflows dominate the dynamics of short-term international capital.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ye Ning, Lingxiang Zhang,