The Empirical Study on the Relationships and Spillover Effects between Interest Rate and Ezchange Rate of China and the USA
The paper did a research on the influence mechanism between the interest rate and the exchange rate by Granger causality test, impulse response function and variance decomposition. The study found that: Chinese interest and exchange rate is in line with interest rate parity theory; The change of U. S. interest rate has a greater impact on the movements of Chinese exchange rate and interest rate than that of Chinese interest rate, showing that there is a spillover effect for the U. S. monetary policy on Chinese exchange rate and monetary policies, and it is reflected that U.S., as the number one power status in the finance and international reserve currency does a significant economic impact on China and the world economy. So we believe that the establishment of a sound market-oriented interest rate mechanism can improve Chinese monetary market and exchange market to be better, and achieve the interest rate and exchange rate coordinated policy. Then, Chinese monetary authorities should also possess an international perspective to improve the assessment system of the delivery of international policy, do well in early warning and response plan management and provide more security and external environment for the sustainable and stable development of Chinese economy.
the interest rate the ezchange rate the interest rate parity impulse response variance decomposition
Hong Wu Fuzhong Chen
Economic Development Research Center of Wuhan University, China College of Economics and Management of Nanjing University of Aeronautics and Astronautics, China
国际会议
第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)
武汉
英文
1572-1577
2009-05-30（万方平台首次上网日期，不代表论文的发表时间）