Revisiting Exchange Rate Shocks on Macroeconomic Variables in China using Time-Varying VAR Model
Authors
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Mohsen Bahmani-Oskoee
Center for Research on International Economics, University of Wisconsin, Milwaukee, Wisconsin, USA.
https://orcid.org/0000-0002-8242-7715
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Yifei Cai
International Business School, Jilin International Studies University, Changchun, China.
https://orcid.org/0000-0002-7607-0473
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Tsangyao Chang
Department of Finance, Feng Chia University, Taichung, Taiwan.
https://orcid.org/0000-0003-1738-4621
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Shanshan Liu
Zhejiang University, Hangzhou, China and Zhejiang University City College, Hngzhou, China.
https://orcid.org/0000-0001-6843-4305
DOI:
https://doi.org/10.18488/29.v9i2.3104Abstract
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.
Keywords:
Macroeconomic variables, Time-varying VAR, 3D impulsive function, Exchange rate shocks, China.Downloads
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Published
2022-08-25
How to Cite
Bahmani-Oskoee, M. . ., Cai, Y. ., Chang, T. ., & Liu, S. . (2022). Revisiting Exchange Rate Shocks on Macroeconomic Variables in China using Time-Varying VAR Model . The Economics and Finance Letters, 9(2), 191–196. https://doi.org/10.18488/29.v9i2.3104
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