2008•Economic & Trade UpdateRequires access

The study on the relation of the change of RMB exchange rate and deposit interest rate

Long Ji

Abstract

This article uses the monthly data from 2000.1 to 2007.8 to analyze the relation of the change of RMB exchange rate and resident deposit interest rate,by using Granger causality tests,ADF test,VAR model,impulse response function and variance decomposition.And it shows that the effect of the change of RMB exchange rate on deposit interest rate is significant but the one of interest rate on exchange rate is not very significant.Some factors,such as system,economy,restrict the relation of exchange rate and interest rate.

About this research paper

What this paper is about

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Renminbi, Exchange rate, Granger causality, Variance decomposition of forecast errors, Interest rate, Economics, Econometrics, Impulse response