Exchange Rate Fluctuation, Money Supply and GDP

摘要

In order to reflect the time-varying and non-linear characteristics of the exchange rate fluctuation and the effect of money supply on GDP, this paper constructs the stochastic fluctuation model and time-varying parameters based on the analysis of exchange rate fluctuation and money supply to the GDP mechanism and path Vector auto-regressive model. The empirical study shows that there are obvious shortcomings in the traditional parameters model, the exchange rate fluctuation and the influence of the money supply on the GDP are obviously time-varying. The impact size has obvious difference and the lag longer the duration, the weaker the effect, the more flexible and more efficient the transmission mechanism of exchange rate fluctuations and the effect of money supply on GDP.