Research on the Dynamic Relationship Between RMB Exchange Rate and Short-term Capital Flows--Based on Asymmetric VAR-BEKK-MGARCH Model*
In this paper,the asymmetric VAR-BEKKMGARCH model is adopted to explore the mean overflow,volatility spillover and asymmetric effect between RMB exchange rate and short-term capital flows.Then the Markov Regimes Switching model is used to identify the risk status and migration probability of dynamic correlation between the two.We have come to the following conclusions.Firstly,there is a significant positive effect between RMB exchange rate and short-term capital flows.The depreciation of RMB exchange rate will lead to the increase of Chinas short-term capital outflows,which will further strengthen the pressure of exchange rate depreciation.Secondly,the appreciation of RMB exchange rate will increase the volatility of short-term capital flows,and the short-term capital inflows will also increase the volatility of exchange rate.Thirdly,compared with the real exchange rate,the negative relationship between RMB nominal exchange rate and short-term capital flows is more stable.During the exchange reform and financial crisis,the dynamic relation between RMB exchange rate and short-term capital flows will be significantly enhanced.
the RMB exchange rate Short-term capital flows Asymmetric VAR-BEEK-MGARCH model
Dai Shugeng Yu Bo Yao feng
School of Economics,Xiamen University,Xiamen,China,361005 Faculty of Economics,Kagawa University,Takamatsu,Japan,760-8523
国际会议
大连
英文
278-287
2018-07-06（万方平台首次上网日期，不代表论文的发表时间）