EMPIRICAL TESTING OF EXCHANGE RATE AND INTEREST RATE TRANSMISSION CHANNELS IN CHINA
Journal Title: Asian Economic and Financial Review - Year 2015, Vol 5, Issue 1
Abstract
This paper examines the exchange rate and interest rate volatility transmission channels in China by applying Granger causality, Johansen cointegration, and the VAR model. Empirical results taken from the exchange rate channel favor the exchange rate and the Shanghai composite index return volatility pass-through in imports and exports; those taken from the interest rate channel favor the deposit and lending rates as well as the Shanghai composite index return volatility pass-through in PPI. Our empirical evidence supports the presence of exchange rate and interest rate transmission channels in China. By manipulating the exchange rate and through its monetary policy, the China government can cool down the country?s overheating economy.
Authors and Affiliations
Ching-Chun Wei*| Department of Finance, Providence University, USA, Tzu-Wei Chuang| Department of Finance, Providence University, USA
Keywords
Related Articles
- EP ID EP2156
- DOI -
- Views 453
- Downloads 27
INVESTIGATING THE CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND AGGREGATE ECONOMIC PERFORMANCE OF SOUTH AFRICA
Stock is one of the key securities traded in the capital markets and as such, has attracted the attention of researchers. While it is said to propel economic activities, empirical studies conducted on different countries...
ENHANCED ECONOMIC STABILITY AND THE ROLE OF INFLATION TARGETING POLICY: EMPIRICAL STUDY ON CASE OF DEVELOPING COUNTRIES
Inflation targeting has become the predominant monetary approach across the globe. In this paper, we examine the inflation targeting experience in developing countries. We estimate the effects of inflation targeting on m...
THE CAUSALITY BETWEEN INCOME INEQUALITY AND ECONOMIC GROWTH: EMPIRICAL EVIDENCE FROM THE MIDDLE EAST AND NORTH AFRICA REGION
This paper explores the causality problem between income inequality and economic growth for 9 countries of Middle East and North Africa (MENA) region for the period ranging from 1960 to 2011. In this study, we applied th...
FUNDING CRISIS IN HIGHER EDUCATION INSTITUTIONS: RATIONALE FOR CHANGE
An important priority of public policy is to ensure that higher education institutions contribute to economic growth and social progress as a whole, especially in the context of today’s globalised markets and knowledge e...
ESTIMATING GROWTH IN INVESTMENT OF MICRO AND SMALL SCALE ENTERPRISES IN NIGERIA
This study analyzed the growth in investment of Micro and Small Scale Enterprises Intermediated by the informal credit market in Nigeria. Primary data for this study were collected from 10 (ten) Local Government Areas of...