This paper uses the DY spillover index and LT-TVP-VAR model to examine the dynamic relationship among capital account opening up,short-term international capital flows and exchange rates.The study shows that there is a sig-nificant time-varying linkage among capital account opening up,short-term international capital flows and exchange rates.There is a short-term dynamic balance rule in the response mode of capital account opening up to short-term international capital flows and exchange rate shocks,and the response to short-term international capital flow shocks is greater.With the improvement of the level of opening up to the outside world,the channels for the interaction and transmission among capital account opening up,short-term international capital flows and exchange rates have gradually become unobstructed,and there is an interactive strengthening effect between capital account opening up and short-term international capital flows,which has a superimposed impact on exchange rates.In addition,the marketization of exchange rates further exacer-bates the complexity and heterogeneity of the time-varying relationship among the three.
关键词
资本账户开放度/短期国际资本流动/汇率/DY溢出指数/LT-TVP-VAR模型
Key words
capital account opening up/short term international capital flow/exchange rate/DY spillover index/LT-TVP-VAR model
维普
万方数据