Abstract
Based on the existing basis, this paper analyzes the short-term international working capital. In addition to considering the interest rate, exchange rate and asset price factors, it also incorporates the fluctuation risk factors of GDP for comprehensive consideration. This article uses the quarterly data of 2000Q1-2016Q3 to build a VAR model of quarterly data. The results show that Chinese short-term international capital flows are explained by their own changes to a large extent; among the four factors, exchange rate and asset price factors have the greatest impact, and arbitrage and DGP risk fluctuations have the weakest impact, indicating that investors are at the national level. Economic fluctuations and spreads are not sensitive, and the purpose of short-term international capital is to obtain the benefits of assets and exchange rates.
Highlights
In 1997, the financial crisis in Asia broke out, raising concerns about short-term capital flows in developing countries
The results show that Chinese short-term international capital flows are explained by their own changes to a large extent; among the four factors, exchange rate and asset price factors have the greatest impact, and arbitrage and DGP risk fluctuations have the weakest impact, indicating that investors are at the national level
When the positive impact of a unit of short-term international capital flows (SC) occurs, its own response is the largest in the first period of 479.1078, gradually decreases, and the second period is reduced to half
Summary
In 1997, the financial crisis in Asia broke out, raising concerns about short-term capital flows in developing countries. With the gradual relaxation of Chinese accession to the WTO and foreign exchange controls in 2001, Chinese short-term international capital flows have increased. In recent years, existing research has shown that extreme changes in short-term international capital flows will have an important impact on the stability of a country’s financial system. Rothenberg and Warnock (2011) mentioned that the volatility of short-term international capital has broad economic impacts, such as accelerating the economic cycle, making a country’s financial system vulnerable and aggravating overall macroe-. Short-term international capital flows can be benign and even bring substantial benefits. It is of great significance to study the factors affecting short-term international capital flows
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