The VAR Model Analysis on the Impact of the Signaling Foreign Exchange Intervention on the Exchange Rate

被引：0

作者：

Yang Shui-qing ^{[1
]}

Liu Zhi-zhong ^{[1
]}

机构：

[1] Hunan Univ, Econ & Trade Coll, Changsha 410082, Hunan, Peoples R China

来源：

2011 INTERNATIONAL CONFERENCE ON APPLIED SOCIAL SCIENCE (ICASS 2011), VOL V | 2011年

关键词：

The Signaling Channel; Foreign Exchange Intervention; Exchange Rate; Real Interest Rate;

D O I：

暂无

中图分类号：

C [社会科学总论];

学科分类号：

03 ; 0303 ;

摘要：

The paper analyzes the impact that the central bank plays on the exchange rate via the signaling channel. Game Model shows that the signaling foreign exchange intervention is more effective in incomplete information market. The VAR model is established here for empirical research to show the dynamic relationship between foreign exchange intervention and other economic variables. And the result shows that the central bank's foreign exchange intervention made higher direct impact on real exchange rate before 2005, but after 2005 the real exchange rate is mainly affected by those intermediate factors such as domestic real interest rate.

引用

页码：481 / 485

页数：5