TY - JOUR
T1 - Modeling dynamics of short-term international capital flows in China
T2 - A Markov regime switching approach
AU - Ning, Ye
AU - Zhang, Lingxiang
N1 - Publisher Copyright:
© 2018 Elsevier Inc.
PY - 2018/4
Y1 - 2018/4
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
KW - Short-term international capital flows
KW - Time-varying transition probability
UR - http://www.scopus.com/inward/record.url?scp=85040239134&partnerID=8YFLogxK
U2 - 10.1016/j.najef.2018.01.002
DO - 10.1016/j.najef.2018.01.002
M3 - Article
AN - SCOPUS:85040239134
SN - 1062-9408
VL - 44
SP - 193
EP - 203
JO - North American Journal of Economics and Finance
JF - North American Journal of Economics and Finance
ER -