RE-MEASUREMENT OF SHORT-TERM INTERNATIONAL CAPITAL FLOWS AND ITS APPLICATION: EVIDENCE FROM CHINA

Junyi Shi ()
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Junyi Shi: School of Statistics, Beijing Normal University (BNU), No. 19, XinJieKouWai St., HaiDian District, Beijing 100875, P. R. China

The Singapore Economic Review (SER), 2020, vol. 65, issue 06, 1645-1665

Abstract: In this paper, we use the improved direct method and improved residual method to re-measure the annual scale and to measure the quarterly scale of the short-term international capital flows based on the Chinese Balance of Payment table. At the same time, we use the residual method to estimate the monthly scale of the Chinese short-term international capital flows as well. Then we explain and test these calculated results. Next we apply the results to the lead–lag analysis of macro-economy. To judge whether the short-term international capital flow is a leading indicator, we apply the Kullback–Leibler information method and cross-correlation analysis method to analyze the lead–lag relationship between the short-term international capital flows and macro-economy by selecting some representative macroeconomic indicators as a reference. Our empirical analysis shows that in China, the short-term international capital flow is a leading indicator to macro-economy and a coincident indicator to Purchasing Managers’ Index. In the end, we give some conclusions and policy proposals.

Keywords: Short-term capital flows; leading indicator; improved residual method; K-L information; cross-correlation analysis (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0217590818500157

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