Short-Term International Capital Flows: Empirical Evidence from China
Aliran Keluar Modal Antarabangsa Jangka Pendek: Bukti Empirikal dari China

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor

tanjj@mail.ustc.edu.cn

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor

mansorj@ukm.my

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM Bangi, Selangor

tamat@ukm.my

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.

Keywords

ARDL; bound test; granger causality test; Short-term international capital flows

Citation

Tan, J., Jusoh, M., & Sarmidi, T. (2013). Short-Term International Capital Flows: Empirical Evidence from China. Jurnal Pengurusan, 38, 53–61.

@article{tan2013shortterm,
  title={Short-Term International Capital Flows: Empirical Evidence from China},
  author={Tan, Junjun and Jusoh, Mansor and Sarmidi, Tamat},
  journal={Jurnal Pengurusan},
 

volume={38},
  number={},
  pages={53—61},
  year={2013},
  doi={},
  publisher={Penerbit UKM},
}

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38 (2013) 53 – 61

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