 Do short-term international capital inflows drive China's asset markets?Chieh-Hsuan Wang, Jen-Te Hwang and Chien-Ping Chung The Quarterly Review of Economics and Finance, 2016, vol. 60, issue C, 115-124 Abstract: The purpose of this paper is to investigate the relationship between short-term international capital inflows and asset markets in China. First, several indices are used to measure the status of China's markets in recent years and to determine possible impacts of short-term foreign capital inflows on asset markets. Second, a structural vector auto-regressive (SVAR) model is used to explore the effects of the unsterilized portion of the monetary base and short-term international capital inflows on the Chinese stock markets and real estate markets. The empirical evidence demonstrates that the relationship between short-term international capital inflows and asset prices is self-fufilling and mutually reinforcing. The unsterilized portion of the monetary base further exacerbates asset price bubbles, which suggests that short-term international capital inflows and excess liquidity will gradually escalate the severity of asset price bubbles. Keywords: Structural vector auto-regressive model; Short-term international capital inflows; Asset prices; Excess liquidity (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:60:y:2016:i:c:p:115-124 DOI: 10.1016/j.qref.2015.10.006 Access Statistics for this article The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty More articles in The Quarterly Review of Economics and Finance from Elsevier |
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