The Impact Of Short-term Cross-border Capital Flows On Sino-us Interest Rate Differentials

With the gradual liberalization and globalization of global finance,large-scale cross-border capital flows become more frequent.For emerging market economies,cross-border capital flow is a double-edged sword.On the one hand,the rational use of cross-border capital will promote global financial integration and rapid economic growth;on the other hand,the country's exchange rate,financial market and real economy may be strongly impacted if it is not regulated and prevented.Firstly,this paper studies the theories of predecessors through a large number of literatures,and summarizes the influence path of cross-border capital flow on interest rate.Then,the direct method,indirect method and comprehensive method are respectively used to estimate the scale of short-term cross-border capital inflow into China,and describe the current situation of cross-border capital flow and sino-us interest rate spread.Finally,build the short-term cross-border capital flows,exchange rates,spreads and the inflation rate of China and the United States of the VAR model,through the granger causality test,impulse analysis and variance decomposition,the empirical conclusions:wider spreads,China and the United States will be driven by short-term cross-border capital inflows,thus promote the RMB exchange rate appreciation,which in turn is the spreads narrowed,arbitrage opportunities and space narrow,sensitive to interest rates of loans and currency funds will flow to the United States,such as drive the depreciation at the same time;In case of massive cross-border capital flows into the country,so whether through capital market and international trade channels,which will cause the domestic the wider spreads,leading to the RMB exchange rate appreciation,domestic inflation rate will be affected by a certain,this also means that the currency markets and currency markets are bring out the reason of the instability,and vice versa.Combined with the above analysis results,the paper gives policy Suggestions on accelerating the interest rate liberalization,deepening the reform of exchange rate system and establishing the supervision system of short-term cross-border capital flow.