With the accelerating process of China's capital account liberalization, the deepening of the marketization of exchange rate reform and the advancement of the internationalization of the RMB, financial openness in China will be significantly improved in the future. The deepening of capital market openness will create the systematic conditions for the free flows of cross-border capital. However, short-term cross-border capital flows are highly mobile, speculative and destructive, which will exert a certain impact on the stability of the capital market. In this context, this paper analyzes the transmission mechanism of the impact of short-term cross-border capital flows on China's capital market stability based on theoretical analysis and empirical research, and thus constructs a macro-prudential regulatory framework for short-term cross-border capital flows management. According to the present situation of China's capital market liberalization and the financial market features, this paper first analyzes the transmission mechanism of the impact of short-term capital flows on capital market stability through direct channels and indirect channels (money supply, bank credit and exchange rate fluctuations). Then, this paper constructs a MS-VAR model to conduct an empirical analysis. The results of the empirical analysis indicate that: (1)Because China's capital and financial account is still under stringent regulation, the direct impulse effect of short-term cross-border capital flows on capital market stability is limited; (2)The money supply channel strongly influences the capital market stability while bank credit channel and exchange rate channel exert fewer influences; (3)By analyzing the filtering probability and smoothing probability of different regimes, this paper finds that the volatility of short-term cross-border capital flows, monetary liquidity, bank credit, exchange rate fluctuations, stock prices and other variables rapidly increase when impacted by the economic crisis, financial volatility and other external emergencies. These shocks also have a significant impact on the capital market and produce asymmetric effect. Finally, this paper constructs a regulatory framework for capital flows management from macro-prudential perspective, which further improves the macro-prudential supervisory system and helps prevent systemic financial risks and maintain China's financial market stability. The policy suggestions of macro-prudential regulatory framework for cross-border capital flows mainly include the following four aspects: (1)To give full play to the role of macroeconomic policy in short-term cross-border capital flows supervision. Based on empirical results, this paper proposes to speed up the interest rate liberalization reform, improve the transmission mechanism of monetary policy gradually, strengthen the supervision of bank credit abnormal changes, and deepen the reform of exchange rate marketization in order to provide a good policy environment for the financial opening; (2)To strengthen macro-prudential supervision for short-term cross-border capital flows. This paper suggests exploring diversified macro-prudential supervision instruments, replacing administrative management with market management, improving the short-term cross-border capital flows monitoring and early warning system, building a three-dimensional monitoring system for cross-border capital and utilizing the capital control tool effectively so as to prevent the panic of cross-border capital outflows; (3)To develop the financial market effectively and promote the structural reform of financial market. China should promote the coordination of several financial reforms. On the one hand, China should promote the development of securities markets and construct a multi-level capital market system to improve the breadth and depth of financial markets; On the other hand, China should strengthen the supervision of financial markets and improve the information disclosure system to protect the interests of investors; (4)To promote the financial liberalization strategy steadily. Financial openness should adapt to the current situation of China's economy, the development stage of capital market and the level of financial regulation. China should control the pace of the financial openness and promote the capital account liberalization, exchange rate marketization and the internationalization of RMB steadily so as to avoid the risk of cross-border capital flows and maintain the financial stability.
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引用本文:
王维安 钱晓霞. 金融开放、短期跨境资本流动与资本市场稳定——基于宏观审慎监管视角[J]. 浙江大学学报(人文社会科学版), 2017, 3(5): 196-212.
Wang Weian Qian Xiaoxia. Financial Liberalization, Short-term Cross-border Capital Flows and Capital Market Stability: From Macro-prudential Perspective. JOURNAL OF ZHEJIANG UNIVERSITY, 2017, 3(5): 196-212.