| Since the 1980s, along with economic globalization and financial liberalization gradually, the cross-border capital flows unprecedentedly active, the average growth rate of global cross-border capital is nearly three times faster than the growth rate of global GDP growth rate at the same time. Short-term cross-border capital is the most active part of cross-border capital. As to its profit-driven and highly liquid nature, the frequent flow of the short-term cross-border capital would often have a huge impact on a country’s exchange rate system, monetary policy, capital market and economic development. The Latin American financial crisis and the Southeast Asian financial crisis, which occurred in the 1920s, was affected by short-term cross-border capital flows.In recent years, our country actively adjust the economic policy, actively participate in the global economic integration, steady and rapid development of domestic economy, the domestic scale rapid growth in cross-border capital flows, has promoted the development of the domestic economy and the financial, but also to the economy of our country inevitably. In this paper, we firstly estimate the size of the short-term cross-border capital flows into our country from two aspects:the normal channel and the hidden channel. And the result shows that the scale of China’s short-term cross-border capital flows is becoming constantly expanding and its volatility is becoming lager. Then, we analyze the present situation of the impact risk which causes by short-term cross-border capital flows on our currency market, exchange rate market, interest rate market and stock market by using the result of the estimation. According to the results, the flowing of the short-term cross-border capital will have a obvious impact on the currency market.while its impact effect on the exchange market and the stock market is not obvious due to the policy restrictions of those markets. And from the result we also can seen that there is a time lag of the interest rate market while been impacted by the short-term cross-border capital flows. On that basis, this paper attempts to construct the VAR model of short-term cross-border capital, exchange rate, domestic and foreign interest margin, stock index, price index and home price index. This paper try to research on the relationship between the various market by using the Granger cause and effect analysis, impulse response analysis and variance decomposition. And we draw the conclusion that the appreciation of the RMB exchange rate and the expansion of domestic and foreign spreads will lead to a net inflow of short-term cross-border capital and the short-term cross-border capital inflows will have a long-term positive impact on our stock market and property market. Finally, combining with the results of previous analysis, focusing on the current situation and development trend of China’s short-term cross-border capital flows, we put forward policy suggestions on four aspects. |
