Empirical Research on the Time Lag of China´s Monetary Exchange Rate Transmission Mechanism

Author

Ling-yun, He ; Chuan-zhe, Liu

Author_Institution

Sch. of Manage., China Univ. of Ming & Technol.

fYear

2006

fDate

5-7 Oct. 2006

Firstpage

1598

Lastpage

1602

Abstract

Time lag of monetary policy is a key index of estimating transmission efficiency, while exchange rate transmission mechanism is an important monetary transmission channel that cannot be neglected. In view of that, this paper takes the monthly data of 1998.1-2005.6 as sample, and empirically researched on the time lag of exchange rate transmission mechanism in China with the methods are known as impulse response function and variance decomposition. It is concluded that monetary policy can act on aggregate output and the price level through exchange rate transmission mechanism. However, the time lag and the reaction degree of final targets to different variables are not same. It offered some useful reference of monetary policy´s establishment and implementation

Keywords

exchange rates; financial management; statistical analysis; China monetary exchange rate transmission mechanism; impulse response function; monetary policy; time lag; variance decomposition; Aggregates; Current measurement; Economic indicators; Equations; Exchange rates; Finance; Government; Helium; Technology management; Time measurement; Exchange rate transmission; Impulse response function; Monetary policy; Time lag; Variance decomposition;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on

Conference_Location

Lille

Print_ISBN

7-5603-2355-3

Type

conf

DOI

10.1109/ICMSE.2006.314043

Filename

4105147