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

doi:10.11908/j.issn.0253-374x.22260

Home > Archive>Volume 52, Issue 4, 2024 >637-646. DOI:10.11908/j.issn.0253-374x.22260

Asymmetric Fluctuation Coupling Effect of Cross-border Capital Flows and RMB Exchange Rate
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                        10.11908/j.issn.0253-374x.22260
                    
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                        JIN Zheng1,2JIN Zheng
Institute of Applied Economics， Shanghai Academy of Social Sciences， Shanghai 200023， China;Shanghai Headquarters of the People’s Bank of China， Shanghai 200120， China
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LI Zhan1LI Zhan
Institute of Applied Economics， Shanghai Academy of Social Sciences， Shanghai 200023， China
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HU Wenwei3HU Wenwei
School of Management， Shanghai University of Engineering Science， Shanghai 201620， China
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Affiliation:1.Institute of Applied Economics， Shanghai Academy of Social Sciences， Shanghai 200023， China;2.Shanghai Headquarters of the People’s Bank of China， Shanghai 200120， China;3.School of Management， Shanghai University of Engineering Science， Shanghai 201620， China
Clc Number:F831.7
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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.

Key words:cross-border capital flows;exchange rate;volatility spillover;asymmetric coupling effect;VECM-GARCH-ABEKK

Reference

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JIN Zheng, LI Zhan, HU Wenwei. Asymmetric Fluctuation Coupling Effect of Cross-border Capital Flows and RMB Exchange Rate[J].同济大学学报(自然科学版),2024,52(4):637~646

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Received:June 02,2022
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Online: April 30,2024
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