Exchange rate dynamics in a Taylor rule framework

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• 作者：Chuanglian Chen^a ; ^b ; ^{chenchuanglian@aliyun.com} ; Shujie Yao^c ; ^d ; ^e ; ^{shujie.yao@nottingham.ac.uk} ; Jinghua Ou^c ; ^{oujinghua@cqu.edu.cn}
• 关键词：Capital control ; Foreign exchange intervention ; Taylor rule ; China ; Japan ; US and UK
• 刊名：Journal of International Financial Markets, Institutions and Money
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：46
• 期：Complete
• 页码：158-173
• 全文大小：1586 K
• 卷排序：46

文摘

A dynamic exchange rate determination model is constructed in a Taylor rule framework. It uses the SVAR model to identify the sources of RMB/USD, Yen/USD and GBP/USD exchange rates. Demand shock plays a dominant role in real exchange determination. In China, capital control plays a critical role in exchange rate determination.