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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...

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Main Authors: Junjun, Tan, Mansor Jusoh,, Tamat Sarmidi,
Format: Article
Language:English
Published: Penerbit Universiti Kebangsaan Malaysia 2013
Online Access:http://journalarticle.ukm.my/6970/1/4611-10784-1-SM.pdf
http://journalarticle.ukm.my/6970/
http://ejournal.ukm.my/pengurusan/index
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spelling my-ukm.journal.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
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
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.
format Article
author Junjun, Tan
Mansor Jusoh,
Tamat Sarmidi,
spellingShingle Junjun, Tan
Mansor Jusoh,
Tamat Sarmidi,
Short-term international capital flows: empirical evidence from China
author_facet Junjun, Tan
Mansor Jusoh,
Tamat Sarmidi,
author_sort Junjun, Tan
title Short-term international capital flows: empirical evidence from China
title_short 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_sort short-term international capital flows: empirical evidence from china
publisher Penerbit Universiti Kebangsaan Malaysia
publishDate 2013
url http://journalarticle.ukm.my/6970/1/4611-10784-1-SM.pdf
http://journalarticle.ukm.my/6970/
http://ejournal.ukm.my/pengurusan/index
_version_ 1643736961132789760
score 13.211869

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