An Empirical Study On The Factors Affecting Short-term International Capital Flows: The Evidence From Emerging Markets

Based on summarizing the classical theories and previous literatures of international capital flows,this paper takes the interest rates,real GDP growth rates,exchange rate changes,and financial system development in emerging market countries,the interest rates and real GDP growth rates in developed countries,and the volatility index as the main research direction,selects the balanced panel data of 18 emerging market economies from Q1,2005 to Q3,2017,and identifies the influence factors of short-term international capital flows through the random effects model and the system GMM.Considering that changes in economic structure,political systems,and even technological advances will all affect the explanatory power of variables,this paper analyzes the time-varying characteristics of main influence factors by constructing the TVP-VAR model.The results show that the volatility index,US real GDP growth rate,and exchange rate changes are the three factors that have the greatest impact on short-term international capital flows,in which the volatility index and US real GDP growth rate are negatively related to the short-term international capital flows,and currency appreciation in each economy is positively related to short-term international capital flows.TVP-VAR model shows that,firstly,short-term international capitals are most affected by US real GDP growth in the third quarter,while the volatility index,the magnitude of appreciation of the US dollar,and itself are all reflected strongly in the first quarter.Secondly,the influence of US real GDP growth rate is reducing after the financial crisis in 2008,but it is different among different economies,and volatility index shows an obvious time-varying characteristics.Finally,the financial crisis expanded the short-term international capital's impulse response to the volatility index and the US real GDP growth rate.The first round of QE amplifies the influence of volatility index.Finally,the paper screens out the countries with higher risk of capital flight to provide reference for monetary authorities to establish observational and early warning mechanisms for short-term capital flows and formulate policy tools,and also provides evidence from emerging markets for the improvement of short-term international capital theories.