Study On The Interaction Between Short-Term International Capital Flow And Economic Securitization Rate

The current US "de-globalization" policy has led to a relatively unstable state of economic recovery.The direction of monetary policy in major developed economies is unclear.On the one hand,the Fed has reduced its liquidity,on the other hand,it has appropriately adjusted the size and frequency of interest rate cuts according to the US economic situation.American government has opened trade wars to many countries at the same time,and reduce taxes and fees on company.Through the above-mentioned international economic policies,it have increased the possibility of short-term international capital returning to developed economies.At the stage,China's economic endogenous growth momentum is insufficient,and medium and long term structural problems have always been there.De-leverage and stable leverage simultaneously reduce the overall debt level and asset price,and also cause a certain depreciation pressure on the RMB-dollar exchange rate in the medium and long term.Due to the adjustment of the above-mentioned domestic economic policies,China has followed suit and panic capital flight in the short term.The establishment of the securities market is to serve the real economy,and the level of securitization development affects the balance between direct financing and indirect financing.From the Asian financial crisis in 1997,US subprime mortgage crisis in 2007 caused the collapse of Lehman in 2008 and Chinese stock market crash in 2015,we can find that short-term international capital attaches great importance to the safety of mobility,and the fluctuations are more frequent.A large number of panic flight will cause the money supply to fail.The situation has a serious impact on the securities market.The development of the securities market carries more responsibility for the current transformation of China's economy.Whether it is the continuous outflow of short-term international capital or the large-scale inflow of short-term international capital,it will impact the stability and security of China's securities market,causing financial market turmoil.It also has made a big negative impact on the real economy.To the above problems,this paper draws on the academic research methods of short-term international capital flows,summarizes theories on short-term in ternational capital flows and influencing factors,summarizes the references on the impact of short-term international capital flows on capital markets,and analyzes short-term international capital flows in China,summarizes the current status and characteristics of the securitization rate of the Shanghai and Shenzhen markets,and reasonable estimates of the scale of China's short-term international capital flows.Regarding the empirical side,the difference between external storage and FDI,trade surplus is China's short-term capital flow(SC)data,and the ratio of Shanghai-Shenzhen stock market value to GDP(SR)is the securitization rate data,taking the monthly closing price of the HZ 300 Index(HZ300)as the data of the rate of return on the capital market,about RMB,the actual effective exchange rate index(EX)is the data of exchange rate change expectation.The purchasing manager index(PMI)is the data of the real economy development level,where SC is the explanatory variable,SR variable is the explanatory variable,and EX and PMI are the control scalar.Based on the background of Shanghai-Hong Kong Stock Connect on November 17,2014,the monthly data from June 2010 to November 2014 and December 2014 to June 2019 were selected.After the unit root test,the lag order was determined,the VAR model was established,Granger causality test,impulse response and variance decomposition were performed to verify international short-term capital flows and securitization.The empirical results show that during the different periods before and after the implementation of Shanghai-Hong Kong Stock Connect,The relationship between China's short-term international capital flows and economic securitization rates is different.After the implementation of Shanghai-Hong Kong Stock Connect,the interaction between China's short-term international capital flows and economic securitization rates has been further strengthened,and the two-way transmission mechanism has become more effective,but the degree of influence between them has presented new features.Short-term international capital flows have a positive impact on China's economic securitization rate.The change of international short-term capital flows will affect exchange rate fluctuations.The sustained economic development will promote international short-term capital flows.In the long run,there will be fluctuation correlation.Due to the empirical results,this paper gives some suggestions on how to raise the development level of China's stock market,such as maintaining the stability and consistency of macroeconomic policies,grasping the rhythm between de-leverage and stable leverage,and updating the monitoring system of short-term international capital flows,deepen the reform of China's financial infrastructure,adhere to the liberalization of the RMB exchange rate formation mechanism,and create a sound economic development environment to facilitate the healthy development of China's securities market.