Measurement and multifractal properties of short-term international capital flows in China

详细信息    查看全文

• 作者：Ye Ning^a ; ^{ningye@pku.edu.cn} ; Yiming Wang^a ; Zhenyu Yang^a ; Yan Geng^b
• 关键词：Short-term international capital ; MF-DFA ; Multifractal analysis ; Long-range correlation
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：15 February 2017
• 年：2017
• 卷：468
• 期：Complete
• 页码：714-721
• 全文大小：531 K
• 卷排序：468

文摘

A new approach to measure short-term international capital flows in China is introduced. The two-way fluctuations of short-term international capital in China become more intense since the global financial ​crisis, and short-term capital outflow has increased rapidly since June, 2014. Non-linear multifractality in China’s short-term international capital flows is proved. Long-range correlations and fat-tailed distribution of short-term international capital flows both contribute to multifractal properties.