THE TIME-VARYING CAUSAL RELATIONSHIP BETWEEN INTERNATIONAL CAPITAL FLOWS AND THE REAL EFFECTIVE EXCHANGE RATE: NEW EVIDENCE FOR CHINA-Reference-Cited by-同舟云学术

THE TIME-VARYING CAUSAL RELATIONSHIP BETWEEN INTERNATIONAL CAPITAL FLOWS AND THE REAL EFFECTIVE EXCHANGE RATE: NEW EVIDENCE FOR CHINA

Published:2019-01-25 Issue: Volume: Page:1950009
ISSN:0217-5908
Container-title:The Singapore Economic Review
language:en
Short-container-title:Singapore Econ. Rev.

Author:

ZHAO YANPING¹,LI XIAOYAN¹,HAAN JAKOB dE²³⁴

Affiliation:

1. School of Economics, Ocean University of China, Shandong, China

2. De Nederlandsche Bank, Amsterdam, The Netherlands

3. University of Groningen, Groningen, The Netherlands

4. CESifo, Munich, Germany

Abstract

We test the bilateral causal relationship between four types of international capital flows and the real effective exchange rate (REER) in China over the period 1998:Q1 to 2016:Q2 and examine whether the link is time varying. Parameter stability tests suggest that the relationship between capital flows and the RMB REER is time varying both in the short and the long run. Bootstrap rolling-window causality tests suggest bidirectional Granger causal relationships between the current account, portfolio investments and FDI, and the REER in several sub-periods, and a Granger-causal relationship from foreign exchange reserves to the REER in some sub-periods.

Publisher

World Scientific Pub Co Pte Lt

Subject

Economics and Econometrics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0217590819500097

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