Revisiting Exchange Rate Shocks on Macroeconomic Variables in China using Time-Varying VAR Model

Mohsen   Bahmani-Oskoee; Yifei  Cai; Tsangyao  Chang; Shanshan  Liu

doi:10.18488/29.v9i2.3104

Authors

Mohsen Bahmani-Oskoee Center for Research on International Economics, University of Wisconsin, Milwaukee, Wisconsin, USA. https://orcid.org/0000-0002-8242-7715
Yifei Cai International Business School, Jilin International Studies University, Changchun, China. https://orcid.org/0000-0002-7607-0473
Tsangyao Chang Department of Finance, Feng Chia University, Taichung, Taiwan. https://orcid.org/0000-0003-1738-4621
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.v9i2.3104

Keywords:

Macroeconomic variables, Time-varying VAR, 3D impulsive function, Exchange rate shocks, China.

Abstract

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.

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Revisiting Exchange Rate Shocks on Macroeconomic Variables in China using Time-Varying VAR Model

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