Prices and Money After Interest Rate Shocks With Endogenous Market Segmentation

2009 ◽  
Author(s):  
Andre C. Silva
Keyword(s):  
Interest Rate ◽  
Market Segmentation ◽  
Interest Rate Shocks

Interest Rate Shocks and Credit Risk

2009 ◽  
Author(s):  
Carlos González-Aguado ◽  
Javier Suarez
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Interest Rate Shocks

Foreign interest rate shocks and exchange rate regimes in East Asia

2014 ◽  
Vol 46 (21) ◽  
pp. 2488-2501 ◽  
Author(s):  
Yang Zhang ◽  
Mengling Li ◽  
Wai-Mun Chia
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
East Asia ◽  
Exchange Rate Regimes ◽  
Interest Rate Shocks

Modeling the Effect of Exchange Rate Liberalization on China’s Macro Economy

2017 ◽  
Vol 21 (5) ◽  
pp. 769-777
Author(s):  
Xiaowen Hu ◽  
◽  
Duanming Zhou ◽  
Chengchen Hu ◽  
Fei Ai
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Social Welfare ◽  
Function Analysis ◽  
General Equilibrium Theory ◽  
Interest Rate Shocks ◽  
Dynamic Stochastic ◽  
The Government ◽  
The Impact ◽  
Domestic Interest Rate

The empirical characteristics of domestic and foreign interest rate shocks are obtained by using VAR method: the domestic interest rate regulation is counter-cyclical, and the increase of foreign interest rate leads to the increase of domestic output and inflation. On this basis, we construct a small open dynamic stochastic general equilibrium theory framework which reflects the empirical characteristics, including exchange rate control, to analyze the macroeconomic effects of exchange rate liberalization reform. By volatility simulation, impulse response and social welfare loss function analysis, the empirical results show that: firstly, exchange rate reform would increase volatility of output and exchange rate, but reduce volatility of inflation and interest rate. Secondly, exchange rate reform enhances the impact of domestic interest rate shocks on output and inflation. Which means the reform would improve the control ability of interest rate as a monetary policy tool. Moreover, the reform increases loss of social welfare. The conclusion shows that the exchange rate liberalization should be implemented step by step. The government should accelerate the reform when the external macro economy is stable. Otherwise it will cause a larger economic volatility.

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