The Impact Of Carry Trade And Expectations On RMB Exchange Rate Fluctuations

Under the background of the deepening global economic linkage,the deepening of financial integration,the deepening of financial liberalization and innovation,the capital flows are frequent and large,and the exchange rate fluctuates in the short term,and the exchange rate is overtaken from the interest rate parity value.Which triggers the failure of the principle of Sino-US interest spread and the dilemma of monetary policy is facing the dilemma of "insurative growth" and "extracurricular stability".It is a hot topic to explore the relationship between arbitrage and exchange rate.From 2005 to 2014,China has adopted a loose and tight monetary policy,but cross-border capital showed a net inflow trend,and interest rate parity theory does not match.The United States to withdraw from the quantitative easing in 2014,the dollar opened interest rate cycle,the same period the Chinese economy into the"new normal",the implementation of easing policy,the spread between the two countries narrowed in the "811" exchange reform under the boost arbitrage capital reversed The equilibrium value of exchange rate devaluation and capital flight rate exceeding interest rate parity.Therefore,the phenomenon of deviation from the interest rate parity theory is frequent,and it is of great theoretical and practical value to explore the influence of arbitrage mechanism on exchange rate fluctuation.The first part of this article is the introduction.First,illustrate article research background and significance,based on the failure of "carry principle between China and the United States",and taking "monetary policy dilemma" as the breakthrough point,,put forward the change of arbitrage model,by studying the history of the model transformation can prevent tragedies,can optimize the policy coordination framework.Second,the interest rate parity theory literature review,the RMB as the main research object,the exchange rate,interest rate,asset prices and cross-border capital flows related to domestic and foreign literature review.First of all,an overview of the RMB onshore,offshore and between the RMB and foreign capital market arbitrage model.Secondly,it analyzes the reason why the RMB exchange rate does not accord with the interest rate parity theory from the short-term shock and the long-term deviation.Finally,it analyzes the influence of arbitrage trading on exchange rate value and exchange rate fluctuation,and puts forward the problem that the existing literature deserves further study.The second part is the transnational RMB arbitrage transmission mechanism analysis.The part of the RMB as the main research object,based on the "double exchange rate system" of the set,the set of asset price gains and arbitrage trading trigger mechanism.And the factors such as the asymmetric mechanism caused by the different capital flows and the degree of capital liberalization in the later period of transmission,and the self-circulation mechanism under the action of market spontaneous and policy control,and perfect the exchange rate,interest rate,asset price and cross-border capital flow Between the endogenous interaction.The third part is descriptive statistics analysis,in August 2005 to date the RMB exchange rate deviation from the traditional interest rate parity and the spread of the principle of the US interest rate as the starting point,through descriptive statistical analysis of exchange rate fluctuations,cross-border capital flows 'and Sino-US The reason for the spread is the arbitrage model change.The fourth part is the empirical analysis.This part uses the structural vector autoregressive model to decompose the RMB exchange rate,the difference of the 10-year bond yield between China and the United States,the difference between the domestic and foreign asset prices and the scale of the cross-border capital flows,and carry out short-term analysis.On the one hand,from the impulse response analysis and variance decomposition of the two dimensions of the measurement,the domestic and foreign capital spread on exchange rate fluctuations and the important role of cross-border capital flows.On the other hand,the control variable is used to compare the asset price arbitrage with the traditional spread model to prove that the domestic and foreign asset spreads are the dominant position of the exchange rate fluctuation and the cross-border capital flow,and the exchange rate is expected to be greater than the appreciation stage,The impact of real estate spread is greater than the stock price spread.The fifth part is policy advice.This part introduces the view of dialectical interest rate parity theory based on the "big and small cycle" perspective,and puts forward some suggestions on how to coordinate the policy after considering the asset price.Advocate the use of price-based policy to stabilize the small cyclical fluctuations in interest rates,exchange rates,asset prices and capital flows administrative regulation,but must not try to use small-cycle means to fundamentally solve the large cycle of economic problems.We should strengthen the reform of the price formation mechanism,including the marketization of interest rate,exchange rate and asset price,and improve the capital supervision under the background of RMB internationalization.