Modeling dynamics of short-term international capital flows in China: A Markov regime switching approach

Ye Ning; Lingxiang Zhang

doi:10.1016/j.najef.2018.01.002

Modeling dynamics of short-term international capital flows in China: A Markov regime switching approach

Ye Ning, Lingxiang Zhang^*

^*Corresponding author for this work

Peking University

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

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 25 months and 4 months, respectively, and after 2007, inflows dominate the dynamics of short-term international capital.

Original language	English
Pages (from-to)	193-203
Number of pages	11
Journal	North American Journal of Economics and Finance
Volume	44
DOIs	https://doi.org/10.1016/j.najef.2018.01.002
Publication status	Published - Apr 2018

Keywords

Markov switching models
Short-term international capital flows
Time-varying transition probability

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10.1016/j.najef.2018.01.002

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Ning, Y., & Zhang, L. (2018). Modeling dynamics of short-term international capital flows in China: A Markov regime switching approach. North American Journal of Economics and Finance, 44, 193-203. https://doi.org/10.1016/j.najef.2018.01.002

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title = "Modeling dynamics of short-term international capital flows in China: A Markov regime switching approach",

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 25 months and 4 months, respectively, and after 2007, inflows dominate the dynamics of short-term international capital.",

keywords = "Markov switching models, Short-term international capital flows, Time-varying transition probability",

author = "Ye Ning and Lingxiang Zhang",

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doi = "10.1016/j.najef.2018.01.002",

language = "English",

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AU - Ning, Ye

AU - Zhang, Lingxiang

PY - 2018/4

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N2 - 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 25 months and 4 months, respectively, and after 2007, inflows dominate the dynamics of short-term international capital.

AB - 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 25 months and 4 months, respectively, and after 2007, inflows dominate the dynamics of short-term international capital.

KW - Markov switching models

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KW - Time-varying transition probability

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JO - North American Journal of Economics and Finance

JF - North American Journal of Economics and Finance

ER -

Modeling dynamics of short-term international capital flows in China: A Markov regime switching approach

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Keywords

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