E3S Web Conf.
Volume 214, 20202020 International Conference on Energy Big Data and Low-carbon Development Management (EBLDM 2020)
|Number of page(s)||5|
|Section||Digital Development and Environmental Management of Energy Supply Chain|
|Published online||07 December 2020|
Dynamic Relationship between RMB Exchange Rate and Interest Rate Based on VAR-DCC-GARCH Model
School of Economics, Wuhan University Wuhan, China
Based on the daily data of Shibor and nominal exchange rate from 2006 to 2019, this paper constructs VAR model and uses Granger causality test and impulse response model to analyze the dynamic relationship between exchange rate and interest rate. Based on the DCC-GARCH model, this paper analyzes the correlation between exchange rate volatility and interest rate volatility, and concludes that there is a weak negative correlation between exchange rate and interest rate. Both exchange rate and monetary policy will have an important impact on China’s economic environment, so it is of great practical significance to study the joint impact of exchange rate and monetary policy.
© The Authors, published by EDP Sciences, 2020
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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