Abstract Effectively coping with and preventing the impact of cross-border capital flows and maintaining the stability of the foreign exchange market are important measures to carry out General Secretary Xi's “fighting a battle to guard against and resolve major risks”. At present, the US dollar has entered a strong cycle. China is facing the risk of currency depreciation and capital outflow caused by the strong US dollar. Therefore, it is of great theoretical and practical significance to study the characteristics and regional division of US dollar cyclical fluctuations and its impact on cross-border capital flows under the current background. Based on the monthly data from October 2006 to June 2018, this paper uses the theoretical model and MSVAR model to analyze the asymmetric effects of US dollar cyclical fluctuations on cross-border capital flows in China. The research shows that, there is an asymmetric effect of interest rate differentials between China and the United States on cross-border capital flows. When investors do not have risk avoidance, the change of interest rate differentials will not lead to large-scale cross-border capital flows. The impact of US dollar index on cross-border capital flows has a certain time lag. The appreciation of US dollar will lead to cross-border capital outflows, and the duration of the impact is significantly longer than that of interest rate differentials shock. The VIX index and the RMB exchange rate have a weaker impact on cross-border capital flows, but show asymmetrical characteristics. The effect of US dollar appreciation on capital outflow after the Fed rate rise and reserve's retrenchment is stronger than that before, which indicates that US dollar appreciation has greater impact on China's cross-border capital flows in the third strong cycle of US dollar.
|