| Since 2005, China’s exchange rate system has reform, RMB exchange rate has been running into the state of unilateral appreciation, and the Chinese economy has been in "golden ten years". With China’s accession to the WTO and the globalization of the finance and economy, China has fully opened the current account, and the capital account liberalization has further strengthened. Under this background, massive hot money flew into China for arbitrage of rate, exchange rate and price, and this phenomenon has been lasting until 2013. After 2013, the macroeconomic environment changed in China, such as the downturn of economy, no more unilateral appreciation RMB exchange rate, the burst of the stock market, and real estate bubble expansion. At the same time, the global financial environment has also changed. American economy has recovered gradually, which was showed by the exit of the six-year quantitative easing policy in October of 2014 and the shrunk interest rate spreads of China and American. In the changing financial and economic environment, foreign exchange reserves continued to fall, which All indicates that the flowing direction of hot money in China has changed, from the past flowing in to outflow in huge scale. The outflow of hot money has great impact on Chinese financial and economy market. To solve this problem, this paper mainly focuses on the scale of the outflow of hot money and the factors that affect the outflow of hot money.This paper starts from the definition of hot money, analyzing the basic characteristics of hot money and the basic theory of the flow of hot money. From the hot money flowing channels, the potential causes of the outflow of hot money and the potential risk of the outflow of hot money, this paper sums up the basic situations of China’s hot money outflows. This paper uses the direct method and indirect method respectively to calculate the scale of hot money scale, which both indicates the hot money outflow trend after 2013. So this paper determines the sample period from January 2013 to January 2016. This paper empirically selected the vector autoregression (VAR) model, which contains variables of the outflow scale of hot money, interest rates spread between us and China, the RMB exchange rate and Shanghai Stock Composite Index and the average new residential price index of Shanghai and Beijing. In the empirical test, this paper conducts the Granger causality test, impulse responses and variance analysis. At the end of this paper, we recommend some relevant policy suggestions to the risk of hot money outflow, which contains maintaining the stability of macroeconomic policies, strengthening the supervision of hot money flows, strengthen international cooperation, build global market monitoring mechanism and using the experience of other countries to strengthen the management of the capital account.The results of this study is followed:(1) The four variables’ fluctuations of interest rates spread between us and China, the RMB exchange rate and Shanghai Stock Composite Index and the average new residential price index of Shanghai and Beijing are the one-way Granger reasons the outflow scale fluctuations of hot money, which means fluctuations in these four variables will affect the outflow of hot money scale fluctuation; (2) The Outflow fluctuations the outflow of hot money scale is nearly 50% explained by itself, and the rest is respectively explained by the other four variables, especially explained by capital market. The innovation of this paper is that it bases on a new global financial and economic background, and empirically studying the impacts of price, interest rate, and exchange rate on the outflow of hot money. |
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