Research On The Interaction Between Short-term International Capital Flow,Money Supply And Asset Price

In the situation of trade exchanges between countries are deepening,and international capital flows are more frequent,which makes the flow of international capital more closely related to the interaction between money supply and asset market prices.Cross border international capital flows can reduce the cost of capital inflow and promote economic development.At the same time,it will easily lead to asset price bubbles,magnify asset price volatility and affect the stability of financial system.Restrictions on capital controls to reduce,the international capital inflows and outflows in China showed a trend of expansion of the scale,the impact on economic and social development and the macro policy of our country deepens,the short-term international capital flow,money supply and the interaction between asset price research has strong practical significance.By reading the previous literature,it is found that the research objects of most literature are limited to any two of the three variables,and lacks the overall interaction research between the three variables.This paper comprehensively discusses the interactive relationship between short-term capital flow,money supply and asset price,introduces the macro monthly data from January 2000 to December 2020 into TVP-VAR model,and studies the interactive relationship between the three variables under different asset markets.The research results based on TVP-VAR model show that:from the perspective of housing market,short-term international capital flows have a positive impact on real estate prices in the long term,and the short-term impact is stronger than that in the medium and long term;The impulse response diagram of short-term capital flow to China’s money supply is positive,and the long-term response value is greater than that of medium and short-term;The impulse response value of real estate price to money supply is negative,and the medium-term response value is lower than the long-term response value;The impulse response value of money supply to real estate price shows positive and negative shocks,and the response value has gradually decreased in recent years.From the perspective of stock market,the impact of short-term cross-border capital on China’s stock price in the short and medium term is obviously greater than the long-term impact,and the impact of short-term capital flow on stock price in the short and medium term and long-term impact are mostly in reverse relationship in the sample period;Money supply has less influence on stock market prices in the long-term than in the medium and short term,and the impulse response value of medium and short-term money supply to stock market price is mostly negative,and the long-term impulse response value is mostly positive;The impulse response value of stock price to short-term capital in one month response period is greater than that in two and six months response period,and its impulse response value is negative for a long time.Therefore,it is necessary to establish an early warning mechanism for short-term international capital flows,pay close attention to the flow direction and scale of short-term international capital flows in real time,and reasonably guide the flow direction of international capital to reduce the impact of short-term international capital on asset prices.Meanwhile,it is necessary to accelerate the improvement of asset market system and enhance the market’s ability to resist risks.