Asymmetric Fluctuation Coupling Effect of Cross-border Capital Flows and RMB Exchange Rate

Abstract:

This paper aims at investigating the asymmetric fluctuation coupling effect of cross-border capital flows and RMB exchange rate through two dimensions of industrial capital flows and financial capital flows. The result shows that both capital flows （industrial and financial capital flows） and the exchange rate have a significant continuous and clustering fluctuation. Besides， there are differential asymmetric fluctuation coupling effects between the two types of capital flows and the exchange rate. This paper proposes policy recommendations such as giving priority to introducing policy arrangements for coping with industrial capital outflows risks， improving the framework for administration featuring “macro-prudential management plus micro-supervision” and reducing the overshooting risk of foreign exchange market， and building a buffer zone for capital flows by improving the RMB offshore transactions.