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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/30700
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| Title: | | Capital flight: China's experience  |
| Authors: | | Cheung, Yin-Wong Qian, Xingwang |
| Issue Date: | | 2010 |
| Series/Report no.: | | CESifo working paper 2931 |
| Abstract: | | We study the empirical determinants of China's capital flight. In addition to the covered interest differential, our empirical exercise includes a rather exhaustive list of macroeconomic variables and a few institutional factors. Overall, our regression exercise shows that China's capital flight is quite well explained by its own history and covered interest differentials. The other possible determinants offer relatively small additional explanatory power. It is also found that China's capital flight responds differently to the components of covered interest differentials and to the positive and negative components of these variables. The response pattern, however, depends on the choice of data frequency. The general impression is that the monthly results are more intuitive than the quarterly ones. |
| Subjects: | | covered interest differential forward premium expected depreciation asymmetric response macro determinants |
| JEL: | | F30 F32 G15 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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