Association Activities of Exchange Rate, Interest Rate and Currency Mismatch’s Structure Mutation and Conduction

Zhongzhao WANG, Yang YI, Mei XU


The leading role of exchange rate’s structure mutation is itself endogenous structural, the interest rate’s structure mutation is the result of the accelerating process of interest rate marketization, and there is no significant correlation between the time dynamic mutation of the currency mismatch and exchange rate’s structure mutation, exchange rate’s structure mutation is the exchange rate has an indirect effect through the interest rate, interest rate’s mutation is ahead of currency mismatch’s mutation. After eliminating the structure mutation factors, currency mismatch’s response of exchange rate’s impact is no regularity at all, short-term response is more intense, and then gradually decreased, the impact of currency mismatch from the exchange rate’s fluctuations continue a long time, currency mismatch’s response of exchange rate’s impact is stronger than the interest rate.The exchange rate and the interest rate are almost consistent ability to the currency mismatch’s explanation, interest rate’s explanatory degree stronger than exchange rate in short-term, in the long term the exchange rate’s explanatory ability has actually strengthened, means interest rate’s predictive ability about currency mismatch is transient, but exchange rate is long-term.
Key words: Currency mismatch; Structure mutation; Identification; Retreating trend treatment VAR model

Résumé: Le rôle prépondérant de la mutation la structure des taux de change est lui-même endogène structurelles, la mutation la structure du taux d'intérêt est le résultat de l'accélération du processus de marchandisation de taux d'intérêt, et il n'ya pas de corrélation significative entre la mutation du temps dynamique de l'asymétrie de devises et de taux de change de mutation structure de la mutation structure de taux de change, est le taux de change a un effet indirect par le taux d'intérêt, la mutation de taux d'intérêt est en avance d'une mutation non-concordance monnaie. Après l'élimination des facteurs de mutation structure, la réponse d'asymétrie de devises de l'impact du taux de change est pas de régularité à tous, réponse à court terme est plus intense, puis a diminué progressivement, l'impact de l'asymétrie de devises contre les fluctuations du taux de change continuent longtemps, d'asymétrie de devises de réponse de l'impact du taux de change est plus forte que le taux de change d'intérêt rate.The et le taux d'intérêt sont la capacité presque constante à l'explication de l'asymétrie de devises, diplôme explicative des taux d'intérêt est plus fort que le taux de change à court terme, à long terme du taux de change explicatives la capacité a effectivement renforcé, signifie la capacité prédictive des taux d'intérêt à propos d'asymétrie de devises est transitoire, mais le taux de change est à long terme.
Mots clés: L’asymétrie de devises; La mutation de structure; D'identification; Se retirant du traitement tendances modèle VAR


Currency mismatch; Structure mutation; Identification; Retreating trend treatment VAR model;L’asymétrie de devises; La mutation de structure; D'identification; Se retirant du traitement tendances modèle VAR

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