Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1655657
Time-varying character for short-term capital flow from the interest rate aspect in China
Kai-Hua Wang
; Department of Finance, School of Economics, Qingdao University, Qingdao, China
Chi-Wei Su
; Department of Finance, School of Economics, Qingdao University, Qingdao, China
Ran Tao
; Department of Non-communicable Chronic Disease, Qingdao Municipal Centre for Disease Control & Prevention, Qingdao, China
Sažetak
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.
Ključne riječi
Short-term capital flow; interest rate differential; time-varying causality
Hrčak ID:
229585
URI
Datum izdavanja:
22.1.2019.
Posjeta: 754 *