Determinants of the CNY/USD exchange rate: a simultaneous-equation model

摘要

Applying the generalised autoregressive conditional heteroscedasticity (GARCH) model and using a sample during 2005.Q3 -2014.Q1, this paper finds that the CNY/USD exchange rate is positively associated with the US interest rate, the US stock price and the inflation rate differential (China's inflation rate minus the US inflation rate) and negatively affected by China's interest rate, US real gross domestic product (GDP), and China's stock price. The coefficient of real GDP in China is positive but insignificant.