Short-term international capital flows

Empirical evidence from China

Junjun Tan, Mansor Jusoh, Tamat Sarmidi

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)53-61
Number of pages9
JournalJurnal Pengurusan
Volume38
Publication statusPublished - Sep 2013

Fingerprint

China
Interest rate differentials
Empirical evidence
International capital flows
Exchange rates
Real estate
Granger causality test
Macroeconomic variables
Short-run
Driving force
Capital movements
Autoregressive distributed lag model
Bounds test
Stock prices

Keywords

  • ARDL
  • Bound test
  • Granger causality test
  • Short-term international capital flows

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Accounting
  • Business and International Management

Cite this

Short-term international capital flows : Empirical evidence from China. / Tan, Junjun; Jusoh, Mansor; Sarmidi, Tamat.

In: Jurnal Pengurusan, Vol. 38, 09.2013, p. 53-61.

Research output: Contribution to journalArticle

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