With the further promotion of financial openness and the enhancement of RMB exchange rate volatility, the frequency and volatility of China's short-term international capital flows have increased significantly. This will have a severe impact on China's financial stability and even cause systemic financial risks. This article constructs an endogenous dynamic system, and it includes exchange rate expectations, international capital flows and financial stability within an open framework, which reveals the micro-mechanism of the interaction of the three from a theoretical level. This article selects the data from January 2005 to December 2019 as the research sample, and uses the Bayesian time-varying vector autoregressive model (TVP-SV-BVAR) with random fluctuations to conduct empirical analysis from the global and multiple scenarios, especially considering that the relationship between them is likely to depend on the heterogeneous zoning environment and has asymmetric characteristics. The article further analyzes the exchange rate appreciation/devaluation expectation, international capital inflow/outflow, etc. The results show that there is a nonlinear linkage effect between exchange rate expectations, international capital flows and financial stability, and this linkage effect has significant time-varying and heterogeneous characteristics from the short-term, mid-term and long-term perspectives. Among them, international capital flow is an important channel for exchange rate expectations to affect financial stability. In view of the significant differences in the linkage mechanism between exchange rate expectations, international capital flows and financial stability in a heterogeneous environment, monetary authorities should stabilize exchange rate expectations and strengthen international capital to flow supervision to maintain the stability of the financial market.