Empirical research on the time lag of China's monetary exchange rate transmission mechanism

被引：0

作者：

He Ling-yun

Liu Chuan-zhe

机构：

来源：

Proceedings of the 2006 International Conference on Management Science & Engineering (13th), Vols 1-3 | 2006年

关键词：

exchange rate transmission; impulse response function; monetary policy; time lag; variance decomposition;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

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.

引用

页码：1598 / 1602

页数：5