Foreign interest rate shocks and exchange rate regimes in East Asia
Yang Zhang1; Mengling Li2; Wai-Mun Chia3
2014-07-01
Source PublicationApplied Economics
ABS Journal Level2
ISSN0003-6846
Volume46Issue:21Pages:2488-2501
Other Abstract

Using a theoretical dynamic stochastic general equilibrium model and an empirical panel vector autoregression, we assess the transmission of foreign real interest rate shocks on the volatility of various key macroeconomic variables in nine small open economies in East Asia taking into account the role of exchange rate regimes. Both the theoretical and empirical findings confirm the hypothesis that flexible exchange rate may work as a shock absorber when the economy is hit by foreign real interest rate shocks. The findings suggest a clear trade-off between the volatility of real exchange rate and real output to foreign interest rate shocks, both the US and G7 real interest rates, where the responses of real output are mitigated in countries that have more flexible exchange rate regime.

KeywordExchange Rate Regime Foreign Interest Rate Shocks East Asia Panel Var
DOIhttps://doi.org/10.1080/00036846.2014.902022
Indexed BySSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000334720600004
The Source to ArticleEngineering Village
Fulltext Access
Citation statistics
Cited Times [WOS]:1   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorWai-Mun Chia
Affiliation1.Faculty of Business Administration, University of Macau, Macau, China
2.Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore, Singapore
3.Division of Economics, School of Humanities and Social Sciences, Nanyang Technological University, Singapore, Singapore
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Yang Zhang,Mengling Li,Wai-Mun Chia. Foreign interest rate shocks and exchange rate regimes in East Asia[J]. Applied Economics,2014,46(21):2488-2501.
APA Yang Zhang,Mengling Li,&Wai-Mun Chia.(2014).Foreign interest rate shocks and exchange rate regimes in East Asia.Applied Economics,46(21),2488-2501.
MLA Yang Zhang,et al."Foreign interest rate shocks and exchange rate regimes in East Asia".Applied Economics 46.21(2014):2488-2501.
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