Abstract:
This paper extends the Taylor rule theoretical model with stock price, central bank intervention and exchange rate expectation, and investigates the microscopic mechanisms under the two-country model of Taylor rule exchange rate framework. For this purpose, we further apply smooth transition auto-regression model from the view of regime-switching during the period from July 2005 to July 2016. Our result shows that the impact of extend Taylor rule on exchange rate is significantly regime-switching and asymmetric. We also employ Bayesian time-varying VAR model with stochastic volatility to depict the dynamic determination of RMB exchange rate, and find that the extend Taylor rule has a certain lagged effect on RMB exchange rate and such an effect is different between short and long run. Besides, we also find that extended Taylor rule exhibits much higher power in explaining the conduction of monetary policy of China in the short term. Our paper provides a new insight for the public to understanding the regularity and causes of RMB exchange rate fluctuation.
江春, 司登奎, 李小林. 基于拓展泰勒规则汇率模型的人民币汇率动态决定:理论分析与经验研究[J]. 金融研究, 2018, 452(2): 82-99.
JIANG Chun, SI Dengkui, LI Xiaolin. The Dynamic Determinations of RMB Exchange Rate based on Extend Taylor Rule Model: Theory and Empirical Evidence. Journal of Financial Research, 2018, 452(2): 82-99.
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