Short-term international capital flows: empirical evidence from China
The present study investigates the dynamic relationship between short-term international capital flows and macroeconomic variables in China from 1999 until 2011. Employing the bounds test, autoregressive distributed lag (ARDL) model and Granger causality tests, the results show that interest rate...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2013
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| Online Access: | http://journalarticle.ukm.my/6970/1/4611-10784-1-SM.pdf |
| _version_ | 1825725917062758400 |
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| author | Junjun, Tan Mansor Jusoh, Tamat Sarmidi, |
| author_facet | Junjun, Tan Mansor Jusoh, Tamat Sarmidi, |
| author_sort | Junjun, Tan |
| collection | UKM |
| description | The present study investigates the dynamic relationship between short-term international capital flows and
macroeconomic variables in China from 1999 until 2011. Employing the bounds test, autoregressive distributed lag
(ARDL) model and Granger causality tests, the results show that interest rate differentials and real estate prices are the main driving forces for short-term international capital movements. The Granger causality test indicates that interest rate differentials and exchange rates Granger cause the short-term international capital flows of China in the short run; while bidirectional causal relationships are found among short-term international capital flows and interest rate differentials; effective exchange rates; stock prices; and real estate prices in the long run. |
| first_indexed | 2024-03-06T04:02:58Z |
| format | Article |
| id | ukm.eprints-6970 |
| institution | Universiti Kebangsaan Malaysia |
| language | English |
| last_indexed | 2024-03-06T04:02:58Z |
| publishDate | 2013 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | dspace |
| spelling | ukm.eprints-69702016-12-14T06:42:44Z http://journalarticle.ukm.my/6970/ Short-term international capital flows: empirical evidence from China Junjun, Tan Mansor Jusoh, Tamat Sarmidi, The present study investigates the dynamic relationship between short-term international capital flows and macroeconomic variables in China from 1999 until 2011. Employing the bounds test, autoregressive distributed lag (ARDL) model and Granger causality tests, the results show that interest rate differentials and real estate prices are the main driving forces for short-term international capital movements. The Granger causality test indicates that interest rate differentials and exchange rates Granger cause the short-term international capital flows of China in the short run; while bidirectional causal relationships are found among short-term international capital flows and interest rate differentials; effective exchange rates; stock prices; and real estate prices in the long run. Penerbit Universiti Kebangsaan Malaysia 2013 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/6970/1/4611-10784-1-SM.pdf Junjun, Tan and Mansor Jusoh, and Tamat Sarmidi, (2013) Short-term international capital flows: empirical evidence from China. Jurnal Pengurusan, 38 . pp. 53-61. ISSN 0127-2713 http://ejournal.ukm.my/pengurusan/index |
| spellingShingle | Junjun, Tan Mansor Jusoh, Tamat Sarmidi, Short-term international capital flows: empirical evidence from China |
| title | Short-term international capital flows: empirical evidence from China |
| title_full | Short-term international capital flows: empirical evidence from China |
| title_fullStr | Short-term international capital flows: empirical evidence from China |
| title_full_unstemmed | Short-term international capital flows: empirical evidence from China |
| title_short | Short-term international capital flows: empirical evidence from China |
| title_sort | short term international capital flows empirical evidence from china |
| url | http://journalarticle.ukm.my/6970/1/4611-10784-1-SM.pdf |
| work_keys_str_mv | AT junjuntan shortterminternationalcapitalflowsempiricalevidencefromchina AT mansorjusoh shortterminternationalcapitalflowsempiricalevidencefromchina AT tamatsarmidi shortterminternationalcapitalflowsempiricalevidencefromchina |