2007•Journal of Nanjing University of Finance and EconomicsRequires access

An Empiric Analysis of the Relationship between Nonlinear Real Exchange Rate and Real Interest Differentials for RMB

Liu Zi

Abstract

This paper introduces threshold nonlinearity into RMB to investigate the relationship between real exchange rate and real interest differentials.With Obstfeld and Rogoff model and BTAR model,the link between real exchange rate and real interest differentials can be found in the data of our country when nonlinearity in the real exchange is taken into consideration.

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Available abstract

Key concepts: Renminbi, Exchange rate, Nonlinear system, Economics, Econometrics, Interest rate, Monetary economics, Physics