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| Impact of Carry Trade on China's Short Term Capital Flows:An Empirical Study based on the Dynamic Portfolio Theory |
| CHEN Sichong, LIU Jingya
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| School of Finance, Zhongnan University of Economics and Law |
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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.
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Received: 09 November 2017
Published: 01 November 2018
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