Spillover Effects Of US Monetary Policy On China's Cross-border Capital Flows:2008-2018

As the world's largest economy,the US's monetary policy trend has always affected the macroeconomic fundamentals of other countries.As the largest developing country in the world,China's economy has been affected by US monetary policy and has always been a topic of concern.In March 2018,the US government imposed tariffs on Chinese products and provoked a new round of trade war.From April to May,the trade war became increasingly fierce.This is an external shock that cannot be ignored in China's economic development.It also inspires us to pay attention to the impact of the historical Sino-US trade policy environment on the issues we want to study.Based on China's specific national conditions,this paper introduces China's foreign exchange control dummy variables and the Renminbi's participation in Special Drawing Rights dummy variables and other variables related to China's current economic and financial basic national conditions,and studies the influence of Fed's quantitative easing monetary policy and interest rate monetary policy on China's cross-border capital.Combined with the background of China'sforeign trade,the TVP-VAR model processed for time-varying parameters using the method of Nakajima Jouchi(2011)and the monthly data from September 2008 to May 2018.The impulse response image studies the spillover effects of the above monetary policy on cross-border capital flows under the conditions of foreign trade as an intermediary.Through empirical research,the results show that China's macroeconomic variables and the Fed's monetary policy have an impact on China's cross-border capital flows,and the direction of influence is consistent with the theoretical analysis.After the economic crisis,the Fed's different monetary policy tendencies towards different periods have obvious spillover effects on China's cross-border capital flows.And the spillover effects of the two monetary policies have different impacts.The impact of quantitative easing on China's cross-border capital flows is larger,more volatile.The impact of interest rate hike policy is more gradual and shows a general upward trend.Trade channels play a role in the spillover effects of quantitative easing monetary policy and interest rate hikes on China's cross-border capital flows,but their role is not the same.Considering two different trade channels of monetary policy,we has found that the total amount of China's import and export trade is affected more by the Fed's interest rate hike policy than by the quantitative easing shock.