Abstract：With the growing capital account liberalization in China,the relationship between cross-border capital flows and the foreign exchange market is getting increasingly closer. In this paper,we provide a synopsis of the transmission mechanism of capital inflows and outflows to foreign exchange market pressure. Furthermore,using the NARDL model,we describe the short-term and long-term relationships between cross-border capital flows and foreign exchange market pressure,and the related asymmetric effects. The main conclusions are as follows:(1) From the perspective of capital inflows,the short-term impact of various types of capital inflows on foreign exchange market pressure is heterogeneous,whereas,in the long-term,the positive shocks of capital inflows lead to significant appreciation pressure;(2) From the perspective of capital outflows,the positive shocks of OFDI and portfolio outflows lead to significant depreciation pressure in the short-term,whereas in the long-term,the impact of capital outflows is uncertain;(3) The positive and negative shocks of different types of capital inflows and outflows have asymmetric effects on foreign exchange market pressure;(4) Exchange rate liberalization has alleviated the appreciation pressure caused by the positive shocks of capital inflows.

Keyword：Cross-border Capital Flows; Foreign Exchange Market Pressure; NARDL Model;