Research On The Impact Of Short-term International Capital Flow On China's Asset Price

Under the background of global economic integration,the deepening of global economic and trade interaction has made international capital flows more free and frequent.It has also made the cross-border flows of international capital and exchange rate and capital market price changes more closely.The cross-border flows of international capital,while promoting the prosperity and development of the inflowing countries,can easily lead to the bubble of asset prices and aggravate the instability of the financial system.The reform of the exchange rate system has,on the one hand,broadened the channel for the two-way volatility of China's exchange rate,and on the other hand,it has also opened up the pattern of two-way flow of cross-border capital.Taking the reform of the exchange rate system in July 2005 as the research background,this paper constructs a vector autoregressive model in two stages,and introduces variables such as RMB exchange rate,expected exchange rate,and interest spread between China and the United States to carry out the impact of short-term international capital flows on China's asset prices.The results show that the appreciation of the RMB,the expected appreciation of the RMB,and the increase in interest spreads between China and the United States will all cause short-term international capital inflows,which will in turn push up domestic stock prices and housing prices.Changes in share prices are more vulnerable to short-term international capital flows.Higher asset prices will attract more international speculative capital inflows,and international capital will flow out later in the period of rising asset prices.With the increase of RMB exchange rate fluctuation after the exchange rate reform,short-term international capital flow has increased its ability to explain its own changes,and stock price volatility has become one of the causes of price fluctuations.The linkage between China's exchange rate and stock price has been strengthened,but the one-way appreciation of the exchange rate is expected to break,making the one-way conduction mechanism of exchange rate changes to housing prices weak.Therefore,while gradually implementing the opening up of the capital account,in order to more smoothly respond to the impact of short-term international capital flows,we must not only continue to deepen the reform of China's exchange rate and interest rate liberalization,but also strengthen the monitoring of short-term international capital flows.Policy guidance will be adopted to make it more effective in the real economy and emerging industries.