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

被引：0

作者：

Jin Z. ^{[1
,2
]}

Li Z. ^{[1
]}

Hu W. ^{[3
]}

机构：

[1] Institute of Applied Economics, Shanghai Academy of Social Sciences, Shanghai

[2] Shanghai Headquarters of the People’s Bank of China, Shanghai

[3] School of Management, Shanghai University of Engineering Science, Shanghai

来源：

Tongji Daxue Xuebao/Journal of Tongji University | 2024年 / 52卷 / 04期

关键词：

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

D O I：

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

中图分类号：

TE [石油、天然气工业];

学科分类号：

0820 ;

摘要：

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. © 2024 Science Press. All rights reserved.

引用

页码：637 / 646

页数：9

共 33 条

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