Revisiting Exchange Rate Shocks on Macroeconomic Variables in China using Time-Varying VAR Model

Mohsen Bahmani-Oskoee (), Yifei Cai (), Tsangyao Chang and Shanshan Liu ()
Authors registered in the RePEc Author Service: Mohsen Bahmani-Oskooee

The Economics and Finance Letters, 2022, vol. 9, issue 2, 191-196

Abstract: In this study we analyze exchange rate shocks in China on its macroeconomic variables by apply TVP-VAR modeling approach. Three-dimensional impulse response functions reveal that GDP, CPI and interest rate are affected in the short run and long run. Our findings have important policy implications for the Chinese government conducting exchange rate policy.

Keywords: Macroeconomic variables; Time-varying VAR; 3D impulsive function; Exchange rate shocks; China. (search for similar items in EconPapers)
Date: 2022
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