Research On The Construction Of China's International Capital Flow Pressure Index And Its Influence Factors

International capital flows refer to the transfer of capital between different countries or regions.For emerging economies,large-scale international capital flows not only promote economic growth and improve financial markets,but also breed financial risks.With the further deepening of China's financial reform and opening up,the scale of international capital flows in China is gradually increasing,and the fluctuation range and frequency are also gradually increasing,which further increases the difficulty of macro-control and management.International Capital Flow Pressure refers to the degree of imbalance of capital flow caused by changes in domestic and foreign financial markets and uncertainties.It can be used to describe the risk of capital flow in a country.In order to effectively monitor the pressure of international capital flow and prevent the risk of capital flow,this paper uses the composition of the foreign exchange market pressure index for reference,constructs the International Capital Flow Pressure index(ICFP)of China under the framework of balance of payments and portfolio analysis,and studies its influence factors.Firstly,this paper discusses the theoretical basis of International Capital Flow Pressure,and estimates the exchange rate elasticity of China's external assets and liabilities by using state space model and Kalman filter method,and then constructs China's International Capital Flow Pressure index.Then,the factors influencing the pressure of international capital flow in China are analyzed from a theoretical point of view,including interest spreads between China and the United States,expected exchange rate changes,the domestic economic growth and the degree of capital control.In the empirical part,the monthly data from January 2011 to December 2018 are selected to construct linear regression model and VAR model to study the influencing factors of ICFP in China.Based on the analysis of empirical results,the following conclusions are drawn;(1)ICFP is an autoregressive process and an important factor of its own;(2)the change of interest spreads between China and the United States has no significant impact on the index;(3)when the exchange rate is expected to depreciate,China will face strong pressure of capital outflow;(4)the improvement of China's economic growth rate will produce capital inflow pressure;(5)Within the sample interval,China will face the pressure of capital outflow when the capital control is relaxed,that is,the level of capital opening is raised.Finally,based on the analysis of the research conclusions,this paper puts forward some policy suggestions,such as establishing a reasonable and effective early warning mechanism of capital flow pressure index,using capital flow management means rationally to alleviate the pressure of capital flow and strengthening the management of exchange rate expectations.