Cross-border Capital Flows From The Perspective Of Macroprudential Supervision Risk Monitoring And Early Warning Research

Cross-border capital flows are a double-edged sword for a country's economy.From the example of the financial crisis of the 1990s,the large fluctuations in cross-border capital flows will cause extremes in a countrys international reserves,exchange rate regime,and economic operations.The big shock even caused an economic crisis.As China's opening up to the outside world continues to increase,it shows new features such as increased volatility,shortened cycles and significant procyclicality.However,China currently lacks monitoring and early warning measures that effectively target the risks of cross-border capital flows.There is an urgent need to strengthen regulation of it.The theoretical foundations of the article mainly introduce cross-border capital flow theory,cross-border capital flow risk theory and macro-prudential supervision theory.This paper divides the risk of cross-border capital flows into four major risks:interest rate and exchange rate risk,hedging capital flow risk,speculative capital flow risk and procyclical risk,and explains the motivation of risk formation.In terms of empirical analysis,this paper first uses the ARIMA model to calculate the volatility of cross-border capital flows and uses it as a risk indicator to measure the risk of cross-border capital flows.Secondly,based on the motivation of risk formation,the risk factors for cross-border capital flows are selected.The indicator pool was selected and a multivariate linear regression model was constructed based on monthly data from 2008 to 2018 for quantitative analysis to examine the influencing factors of cross-border capital flow risk.The empirical study shows that the growth rate of bank settlement and sale of foreign exchange has a negative impact on China's cross-border capital flow risk,domestic and international economic growth differences,| import growth rate-export growth rate |,CSI corporate bond index change rate,RMB exchange rate Expected changes and changes in the real exchange rate index of the renminbi have a positive impact on China's cross-border capital flow risk;then,this paper uses the Granger causality test to screen out the leading indicators and synchronization indicators of it,and use principal component analysis to finally The two principal components with principal component eigenvalues greater than 1 are extracted and the early warning index is synthesized.The weight of the synthetic early warning index is the factor contribution rate.After synthesizing the early warning index,the method of comparison and event investigation is used to test the early warning capability.The overall trend of the cross-border capital flow risk monitoring and early warning index and the cross-border capital flow volatility is upward trend.In addition,in the 2009 European debt crisis,2014 Most of the monitoring and early warning indexes of the key observation period in which the economic growth target was lowered from the year,the 811 exchange reform in 2015 and the turning point of cross-border capital flows were mostly 1-2 months,and the early warning effect was good.