REVISITING EXCHANGE RATE SHOCKS ON MACROECONOMIC VARIABLES IN CHINA USING TIME-VARYING VAR MODEL

被引：0

作者：

Bahmani-Oskoee, Mohsen ^{[1
]}

Cai, Yifei ^{[2
]}

Chang, Tsangyao ^{[3
]}

Liu, Shanshan ^{[4
,5
]}

机构：

[1] Univ Wisconsin, Ctr Res Int Econ, Milwaukee, WI 53201 USA

[2] Jilin Int Studies Univ, Int Business Sch, Changchun, Peoples R China

[3] Feng Chia Univ, Dept Finance, Taichung, Taiwan

[4] Zhejiang Univ, Hangzhou, Peoples R China

[5] Zhejiang Univ City Coll, Hngzhou, Peoples R China

来源：

ECONOMICS AND FINANCE LETTERS | 2022年 / 9卷 / 02期

关键词：

Macroeconomic variables; Time-varying VAR; 3D impulsive function; Exchange rate shocks; China; INFLATION; TRADE;

D O I：

10.18488/29.v9i2.3104

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this study we analyze exchange rate shocks in China on its macroeconomic variables by apply TVP-VAR modeling approach. Three-dimensional impulse response functions reveal that GDP, CPI and interest rate are affected in the short run and long run. Our findings have important policy implications for the Chinese government conducting exchange rate policy.

引用

页码：191 / 196

页数：6

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