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Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1642780

Does the covered interest rate parity fit for China?

Chi-Wei Su ; School of Economics, Qingdao University
Kai-Hua Wang ; Department of Finance, Qingdao University
Ran Tao ; Technological Center, Shandong Entry-Exit Inspection and Quarantine Bureau
Oana-Ramona Lobont ; Department of Finance, West University of Timisoara

Puni tekst: engleski, pdf (2 MB) str. 2009-2027 preuzimanja: 48* citiraj
APA 6th Edition
Su, C., Wang, K., Tao, R. i Lobont, O. (2019). Does the covered interest rate parity fit for China?. Economic research - Ekonomska istraživanja, 32 (1), 2009-2027. https://doi.org/10.1080/1331677X.2019.1642780
MLA 8th Edition
Su, Chi-Wei, et al. "Does the covered interest rate parity fit for China?." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 2009-2027. https://doi.org/10.1080/1331677X.2019.1642780. Citirano 31.03.2020.
Chicago 17th Edition
Su, Chi-Wei, Kai-Hua Wang, Ran Tao i Oana-Ramona Lobont. "Does the covered interest rate parity fit for China?." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 2009-2027. https://doi.org/10.1080/1331677X.2019.1642780
Harvard
Su, C., et al. (2019). 'Does the covered interest rate parity fit for China?', Economic research - Ekonomska istraživanja, 32(1), str. 2009-2027. https://doi.org/10.1080/1331677X.2019.1642780
Vancouver
Su C, Wang K, Tao R, Lobont O. Does the covered interest rate parity fit for China?. Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 31.03.2020.];32(1):2009-2027. https://doi.org/10.1080/1331677X.2019.1642780
IEEE
C. Su, K. Wang, R. Tao i O. Lobont, "Does the covered interest rate parity fit for China?", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 2009-2027, 2019. [Online]. https://doi.org/10.1080/1331677X.2019.1642780

Sažetak
This paper aims to investigate whether the covered interest rate parity (C.I.P.) holds or not through examining the dynamic link between nominal interest rate differential (N.I.R.D.) and nominal exchange rate (N.E.R.) in China. With economic transitions and structural changes existing, we find that the C.I.P. condition using full-sample data does not always hold. Consequently, we apply a time-varying rolling-window approach to revisiting the dynamic causal relationship, and the results show that N.I.R.D. has both positive and negative impacts on N.E.R. in several sub-periods, and in turn, N.E.R. has the same effects on N.I.R.D. for China. Exchange regime reform, currency-specific market risk and capital control are considered in explaining the deviations in some subsample periods. Therefore, empirical results have important implications for distinguishing factors that bring about the C.I.P. deviations and further offers policy suggestions for the Chinese monetary authority

Ključne riječi
Interest rate differential; exchange rate; rolling window; bootstrap; time- varying causality

Hrčak ID: 228882

URI
https://hrcak.srce.hr/228882

Posjeta: 79 *