Testing the Relationship between Domestic Factors and Real Exchange Rate in China

• 영문명: Testing the Relationship between Domestic Factors and Real Exchange Rate in China
• 발행기관: 한국무역연구원
• 저자명: Guangdong Yu
• 간행물 정보: 『무역연구』제13권 제3호, 249~264쪽, 전체 16쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2017.06.30

영문 초록

In this study, we mainly investigate how the domestic factors of China (trade openness, Kaopen, real interest rate, real government consumption and real GDP) affect the real exchange rate using Ridge regression and the VAR model from 1970-2015. The empirical results show, in the short run, that positive real government consumption, real interest rate and trade openness lead to a real exchange rate depreciation in both models, while the real GDP and Kaopen lead to a real exchange rate appreciation in Ridge regression. After ten-year lags are used in the VAR, we find that the negative effects of real government consumption and real interest rate shocks are small on impact in the long run, but the Trade Openness shocks and Kaopen shocks have strong negative effects on the real exchange rate in the long run. The real GDP shocks keep a strong positive effect on the real exchange rate in the long run.

목차

Ⅰ. Introduction

Ⅱ. Data and Model

Ⅲ. Model Results

Ⅳ. Conclusions

키워드

Kaopen Real GDP Real Exchange Rate Real Government Consumption Real Interest Rate Trade Openness