文章基本信息

标题：A Study on the Influence Factors of Short-Term International Capital Flows—The Evidence from Emerging Market
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作者：Huiqin Ma
期刊名称：Modern Economy
印刷版ISSN：2152-7245
电子版ISSN：2152-7261
出版年度：2018
卷号：09
期号：04
页码：758-774
DOI：10.4236/me.2018.94050
语种：English
出版社：Scientific Research Publishing
摘要：This paper conducts an empirical analysis based on the balanced panel data of 18 emerging market economies between Q1, 2005 and Q3, 2017 to identify the influence factors of short-term international capital and discuss their time-varying characteristics. The system GMM model shows that short-term international capital is negatively correlated with the VIX (Volatility Index) and US real GDP growth rate, and is positively correlated with the appreciation of emerging markets’ currencies. The TVP-VAR model shows that short-term international capital has positive impulse response to its own changes, appearing “herd effect”, and has the largest impulse response to US GDP growth, VIX, US dollar appreciation and itself within two quarters, which are all consistent with the variability of itself. What’s more, the VIX exhibits obvious time-varying characteristics. The financial crisis expands the influence of VIX and the US GDP growth rate, and the first round of QE amplifies the influence of VIX.
关键词：Short-Term International Capital Flow;VIX;Exchange Rate