Considering the factors of capital account regulation, this paper constructs a cross-border investment model with heterogeneous risk preference investors, and analyzes the influence mechanism of capital account control, the arbitrage motivation of interest rate and exchange rate on capital flows. So, in the empirical part, we use the semi-parametric smoothing coefficient model to explore the time-varying characteristics of various driving factors in the opening of capital account. This paper draws the following conclusions. Firstly, capital account control does not have a clear guiding role, but it will affect the scale of cross-border capital flows by changing the influence degree of relevant factors. Secondly, before the rapid opening of the capital account, the arbitrage motivation of exchange rate and interest rate played a major role. Subsequently, the influence degree of the Fed's monetary policy had greatly increased and became the dominant factor. The influence of international financial risks also increased significantly, while the arbitrage motivation of interest rate has shrunk dramatically. In addition, the RMB exchange rate volatility would produce two effects of“arbitrage space”and“arbitrage risk”, while international financial risks may also exert“global effect”and“substitution effect”. Based on these, this paper believes that we should promote capital account liberalization gradually, carry out capital control in a timely and moderate manner, pay attention to preventing financial risks from arising from the shift of international monetary policy, establish RMB exchange rate anchors and develop market expectation management.
Key words
Capital Account Opening /
China's Short-Term Capital Flows /
Semi-Parametric Smooth Coefficient Mode
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Footnotes
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