Measuring The Spillover Effects Of The Federal Reserve Raise Interest Rates On China Cross-border Capital Flow

Since December 2015,as the U.S.economic indicators than expected,the Federal Reserve started to raise interest rates process,and caused the global financial markets,commodity markets and the volatility of international capital flow.Because our country and the United States on the economic interdependence and has no balance,therefore,the Federal Reserve to raise interest rates will produce large spillover effects to our country,and affect our country's economy through different channels,the channel of capital is one of the most direct channels of influence.In the context of the shift of us monetary policy to the collision of our economy,study of a new round of the Federal Reverse to raise interest rates to China the influence of cross-border capital flows,is advantageous to the scientific supervision of cross-border capital flows,monetary authorities to promote China's cross-border capital flows macro-prudential regulation framework of establishing,improve the ability of monetary policy.This article firstly combed the spillover effects of monetary policy and cross-border capital flow related literature,the spillover effects of monetary policy and overall overview,cross-border capital flow to a country's monetary policy changes on cross-border capital flow is studied of the overflow channel,At the same time,it defines the cross-border capital studied in this paper.Then,through the background of the Federal Reserve's interest rate hikes and the situation of cross-border capital flow in the U.S.during this period,we can fully understand the changes in the economic environment of the Federal Reserve to raise interest rates.At the same time,the current situation of cross-border capital flow in China is analyzed,and the influence of the Federal Reserve interest rate increase on cross-border capital flow is analyzed through different economic indicators.Then,this article empirically analyzes the TVP-VAR model of five variables,including the U.S.Federal Funds rate,SHIBOR interest rate,China's real effective exchange rate,Shanghai composite index and cross-border capital flow.At the end of the article,make some Suggestions on the conclusion of the article.Research results show that the Federal Reserve raising interest rates to cross-border capital flow in our country have a negative spillover effects,such as interval impulse response figure appears anti-hump type,the overflow of maximum negative effects will be in a certain period,then decreased.Empirical analysis separately for the Federal Funds rate to our country the influence of interest rate,exchange rate,asset prices,and the way to our country the influence of cross-border capital flow: in terms of interest rates,SHIBOR interest rate was positively correlated with the Federal Funds rate in our country,and SHIBOR interest rate in our country and our country cross-border capital inflow were positively correlated relationship.When the fed raises interest rates,capital flows into the United States,but our interest rates rise,and when spreads go down,capital flows back to a certain level.In terms of exchange rate,the rate of interest rate rise will start to depreciate,and the outflow of cross-border capital will be serious.As the Federal Reserve raises interest rate,the exchange rate will return to a certain level.In terms of asset prices,the Federal Reserve's interest rate rise is negatively correlated with China's stock market,and the stock market is well positioned to attract capital inflow.In view of the above findings,the macro-prudential supervision of cross-border capital flows is proposed in the new environment,and the ability to control monetary policy is improved.