Long-run and short-run dynamics relationships between exchange rate fluctuations and foreign direct investment flows in China
Files
Published version
Date
2017-01-01
DOI
Authors
Lee, Jung Wan
Brahmasrene, Tantatape
Version
OA Version
Citation
Jung Wan Lee, Tantatape Brahmasrene. 2017. "Long-Run and Short-Run Dynamics Relationships between Exchange Rate Fluctuations and Foreign Direct Investment Flows in China." 2017 INTERNATIONAL CONFERENCE ON BUSINESS AND ECONOMICS (ICBE2017). International Conference on Business and Economics (ICBE2017). Univ Finance Mkt, Ho Chi Minh City, VIETNAM, 2017-07-06 - 2017-07-08
Abstract
This research explores the short-run and long-run dynamic
relationships between exchange rate fluctuations and foreign direct
investment (FDI) inflows in China. Monthly time series data from
the National Bureau of Statistics of the People’s Republic of China
are analyzed by employing co-integration tests, vector error
correction models, Wald tests and impulse responses. The empirical
results indicate that a change in exchange rates negatively affects
FDI inflows in the long run while there exists no evidence of shortrun
dynamics and reciprocal feedback between exchange rate
fluctuations and FDI inflows. Furthermore, a structural break occurs
during the 2007-2009 Asian financial crisis shock to FDI inflows in
China.