Title: Determinants of the CNY/USD exchange rate: a simultaneous-equation model
Author: Yu Hsing
Address: Department of Management & Business Administration, College of Business, Southeastern Louisiana University, Hammond, LA 70402, USA
Abstract: Applying the generalised autoregressive conditional heteroscedasticity (GARCH) model and using a sample during 2005.Q3-2014.Q1, this paper finds that the CNY/USD exchange rate is positively associated with the US interest rate, the US stock price and the inflation rate differential (China's inflation rate minus the US inflation rate) and negatively affected by China's interest rate, US real gross domestic product (GDP), and China's stock price. The coefficient of real GDP in China is positive but insignificant.
Keywords: exchange rates; interest rates; gross domestic product; GDP; stock prices; inflation rates; GARCH model; determinants; simultaneous equations; modelling; China; USA; United States.
Int. J. of Monetary Economics and Finance, 2015 Vol.8, No.3, pp.274 - 281
Submission date: 01 Apr 2015
Date of acceptance: 06 May 2015
Available online: 09 Oct 2015