Small and Medium Enterprise Development Promotion Center of Zhejiang Province;Zhejiang Economic Operation Monitoring Center
As China has gradually enhanced its interactions with other countries, Chinese economy is more prone to foreign monetary policies. By building up two-country DSGE model, this article uses parameter calibration method to select model parameters and utilizes economic variable fluctuation characteristics and impulse response function to analyze how US interest rate rising affects CNY exchange rate and relative prices. Research results show that increasing US interest rate will lead to decrease of Chinese inflation rate and stock price. CNY exchange rate will depreciate, which does not necessarily increase export. With the impact of US interest rate rising, the relative volatility of Chinese stock price is the greatest followed by CNY exchange rate and inflation rate. The relative volatility of interest rate is the smallest. In the end, this article proposes some suggestions such as improving macro-control policies and enhancing macro-prudential financial management system.
USD interest rate rising;policy spillover;CNY exchange rate;the two-country DSGE model
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