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1、CapitalFlight:China’sExperienceYin-WongCheungXingwangQianCESIFOWORKINGPAPERNO.2931CATEGORY7:MONETARYPOLICYANDINTERNATIONALFINANCEJANUARY2010Anelectronicversionofthepapermaybedownloaded•fromtheSSRNwebsite:www.SSRN.com•fromtheRePEcwebsite:www.RePEc.org•fromtheCESifowebsite:Twww.CESifo-group.or
2、g/wpTCESifoWorkingPaperNo.2931CapitalFlight:China’sExperienceAbstractWestudytheempiricaldeterminantsofChina’scapitalflight.Inadditiontothecoveredinterestdifferential,ourempiricalexerciseincludesaratherexhaustivelistofmacroeconomicvariablesandafewinstitutionalfactors.Overall,ourregressionexer
3、ciseshowsthatChina’scapitalflightisquitewellexplainedbyitsownhistoryandcoveredinterestdifferentials.Theotherpossibledeterminantsofferrelativelysmalladditionalexplanatorypower.ItisalsofoundthatChina’scapitalflightrespondsdifferentlytothecomponentsofcoveredinterestdifferentialsandtothepositive
4、andnegativecomponentsofthesevariables.Theresponsepattern,however,dependsonthechoiceofdatafrequency.Thegeneralimpressionisthatthemonthlyresultsaremoreintuitivethanthequarterlyones.JEL-Code:F30,F32,G15.Keywords:coveredinterestdifferential,forwardpremium,expecteddepreciation,asymmetricresponse,
5、macrodeterminants.Yin-WongCheungXingwangQianDepartmentofEconomicsE2EconomicsandFinanceDepartmentUniversityofCalifornia,SantaCruzSUNYBuffaloStateCollegeUSA–SantaCruz,CA950641300ElmwoodAvecheung@ucsc.eduBuffalo,NY14222qianx@buffalostate.eduCheungacknowledgesthefinancialsupportoffacultyresearch
6、fundsoftheUniversityofCalifornia,SantaCruz.1.IntroductionInthemidstofthecurrentfinancialcrisis,itishardtounder-estimateChina’sroleintheglobaleconomy.Sinceitsopendoorpolicywasinitiatedin1978,Chinahasswiftlyascendedtotheleagueofmajorplayersintheworldeconomy.Echoingitsgrowingeconomicprowess,Chi
7、nahassteppedupitsinteractionswiththerestoftheworldapace.Overthelasttwodecades,Chinahasstrengtheneditslevelsoftradeandfinancialintegrationwiththeworldeconomy,albeitatunevenpaces.ThereisaplethoraofanalysesonChina’stradeintegration.Thesestudiesusually
