Evidence of the Structural Stability of Short-Term Capital Flow
用两种统计检验方法（累积平方和检验和变参数回归）重新检验美加短期资本流动的结构稳定性，发现早期研究因方法局限可能误判，新方法能更准确识别系数变化。
IN an earlier study, Hodgson and Holmes (1977) provided empirical evidence on the structural stability of short-term capital flow using the case of U.S.-Canadian net bank claims for the period 1955-I to 1974-I.1 Their findings indicated that the short-term capital flow underwent a significant structural change, and that the instability in the short-term capital flow may have been due to changes in interest rate sensitivity over time. However, as Garbade (1977) shows, the test procedure used by Hodgson and Holmes, labeled the cusum of squares test, has limitations for detecting structural change in the coefficients. The primary purpose of this paper is to present additional empirical evidence on the stability of U.S.-Canadian capital flow, obtained not only from the cusum of squares test, but also from the variable parameter regression technique. The use of the latter test is well justified in that it is somewhat more powerful and has the advantage of being able to isolate instability in individual regression coefficients. In section I we develop an analytical framework for short-term capital flow based on the portfolio balance approach. Section II presents the regression results for the U.S.-Canadian short-term capital flow. In section III we present a brief and heuristic description of the two stability test procedures as well as the results of these tests. Major conclusions are presented in section IV.