Time-varying character for short-term capital flow from the interest rate aspect in China

Kai-Hua Wang, Chi-Wei Su and Ran Tao

Economic Research-Ekonomska Istraživanja, 2019, vol. 32, issue 1, 2761-2779

Abstract: This study investigates the causal link between short-term capital flow and interest rate differential with the bootstrap Granger full-sample causality and sub-sample rolling-window methods. The empirical results indicate that there is a unidirectional link from interest rate differential to short-term capital flow. However, when considering structural breaks in the above series, the full-sample causality test cannot be relied on. Hence, the time-varying rolling-window method is employed to examine the dynamic causal nexus. Being influenced by the U.S. monetary, world economic situation, Chinese intervention policies and other factors, interest rate differential has influences on short-term capital flow in some periods, but the reverse effect does not exist. Therefore, it is important for authorities to focus on specific backgrounds (e.g., economic situation, monetary policies) and further utilise interest rate and capital control to alleviate negative effects from violent fluctuation of short-term capital flow on the Chinese economy.

Date: 2019
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1331677X.2019.1655657 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:reroxx:v:32:y:2019:i:1:p:2761-2779

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rero20

DOI: 10.1080/1331677X.2019.1655657

Access Statistics for this article

Economic Research-Ekonomska Istraživanja is currently edited by Marinko Skare

More articles in Economic Research-Ekonomska Istraživanja from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().