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

Ye Ning and Lingxiang Zhang

The North American Journal of Economics and Finance, 2018, vol. 44, issue C, 193-203

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: Short-term international capital flows; Time-varying transition probability; Markov switching models (search for similar items in EconPapers)
JEL-codes: F21 F31 R21 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:44:y:2018:i:c:p:193-203

DOI: 10.1016/j.najef.2018.01.002

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