An Empirical Study On The Impact Of Short-term International Capital Flows On RMB Exchange Rate

Under the background of the gradual opening of the capital account and the reform of the exchange rate mechanism,China's current depreciation of the RMB exchange rate and short-term capital outflow have shown a vicious circle of mutual promotion,and the degree of promotion has continued to deepen.The short-term international capital flow shows the characteristics of increased size and stronger volatility,which has brought a huge impact on the RMB exchange rate and China's economy.Exploring the relationship between shortterm international capital flows and the role of the RMB exchange rate is the key to fully grasping the reasons for the continued devaluation of the RMB in terms of short-term international capital flows.Therefore,it is of great significance to study the influence of short-term international capital flows on the RMB exchange rate.This article selects high-frequency monthly data from January 2005 to June 2017 to conduct empirical research on the direct and indirect effects of short-term international capital flows on RMB exchange rate changes.The main contents,methods and conclusions of the study are as follows:First of all,it expounds the definition of short-term international capital flow,selection of measurement methods,and the theory of RMB exchange rate.It focuses on the analysis of the impact of short-term international capital flows on exchange rate movements through international payments,inflation,and interest rate differences.Secondly,it describes and analyzes the short-term international capital flow and the current state of the RMB exchange rate,including the flow size,the characteristics and trends of liquidity,the exchange rate fluctuations and the phased characteristics of the RMB exchange rate.Finally,using the VAR model to empirically analyze the impact of short-term international capital flows on the RMB exchange rate,and using Granger causality test,impulse response function,variance decomposition,etc.to initiate short-term capital flows affecting the direction,influence and impact of RMB exchange rate Conduct the analysis.The conclusions are as follows:1.Short-term international capital flows can directly or indirectly affect the exchange rate of the renminbi.Through the analysis of the Granger causality test results,it can be found that the exchange rate between the RMB exchange rate and the short-term international capital flow is Granger cause,that is,they can influence each other.2.Short-term international capital flow is the Granger cause of the spread between China and the United States,but it is not Granger causality due to the expected exchange rate of the renminbi.The Sino-U.S.spread and the renminbi exchange rate are expected to be the Granger cause of the renminbi exchange rate,short-term international capital flows.Indirect impact on the exchange rate of the RMB through the Sino-American spread.3.Short-term international capital flows have a positive correlation with the RMB exchange rate.When the international short-term capital flows change,it will bring a positive impact on the RMB exchange rate;At the same time,the change in the RMB exchange rate will also influence the short-term international capital flow in the same direction,and its degree of impact larger.4.The spread between China and the United States can have a positive impact on the exchange rate of the renminbi.When the spread of the American interest spread widens,it will prompt the flow of international capital into the domestic market in the short term,thus increasing the short-term international capital inflow.The renminbi exchange rate is expected to have a positive impact on the exchange rate of the renminbi.5.Short-term international capital flows can have an impact on the exchange rate fluctuations of the RMB.From the perspective of short-term international capital flows on the rate of RMB exchange rate fluctuations,over time,the degree of interpretation of shortterm international capital movements on RMB exchange rate fluctuations has gradually increased.therefore,according to the analysis of international capital flows and short-term RMB exchange rate for the pipe,the author also put forward some own opinions and suggestions: first,through the interest rate market reform to perfect economic system,then can proceed to improve the RMB exchange rate system,and the opening of the capital account,and improve the financial regulatory policy,establish a more reasonable financial system.