Abstract:
This paper studies the impact of carry trade on China's short-term capital flows based on the dynamic portfolio theory. Specifically, we include RMB carry trade assets, dollar risk-free assets and dollar risky assets to establish an international portfolio and calculate their optimal weights to explain changes in short-term capital flows in China. The results show that the optimal portfolio weights can significantly predict changes in China's capital flows. Moreover, the carry trade effect is still not the fundamental reason that drives the trend of China's capital flows.
陈思翀, 刘静雅. 套息交易对中国短期资本流动的影响——基于动态资产组合理论的研究[J]. 金融研究, 2018, 456(6): 73-90.
CHEN Sichong, LIU Jingya. Impact of Carry Trade on China's Short Term Capital Flows:An Empirical Study based on the Dynamic Portfolio Theory. Journal of Financial Research, 2018, 456(6): 73-90.
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