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Asymmetric impact of Sino-US interest rate differentials and economic policy uncertainty ratio on RMB exchange rate

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  • Long, Shaobo
  • Zhang, Rui
  • Hao, Jing

Abstract

By using the NARDL model, we investigate the asymmetric relationship between Sino-US interest rate differentials, economic policy uncertainty (EPU) ratio, and the RMB exchange rate both in the long and short run. We further explore the changes in the asymmetric relations in light of the shocks of the 2008 international financial crisis and the COVID-19 pandemic. Our empirical results show that the long-run asymmetric effects of Sino-US interest rate differentials and EPU ratio on the RMB exchange rate are significant. Specifically, the RMB exchange rate appreciation resulting from the widening Sino-US interest rate differentials is greater than its depreciation resulting from the narrowing interest rate differentials in the long run. And the RMB exchange rate responds more intensely to the increase of Sino-US EPU ratio in the long run. In addition, in the aftermath of the 2008 international financial crisis, the impact of Sino-US interest rate differentials on the RMB exchange rate is found to be weaker, while the impact of the Sino-US EPU ratio on the RMB exchange rate is reinforced. COVID-19, for its part, has simultaneously intensified the responses of the RMB exchange rate to Sino-US interest rate differentials and EPU ratio.

Suggested Citation

  • Long, Shaobo & Zhang, Rui & Hao, Jing, 2022. "Asymmetric impact of Sino-US interest rate differentials and economic policy uncertainty ratio on RMB exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000555
    DOI: 10.1016/j.intfin.2022.101570
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    Cited by:

    1. Long, Shaobo & Li, Jieyu & Luo, Tianyuan, 2023. "The asymmetric impact of global economic policy uncertainty on international grain prices," Journal of Commodity Markets, Elsevier, vol. 30(C).
    2. Wang, Yonglian & Wang, Lijun & Pan, Changchun & Hong, Songzhi, 2022. "Economic policy uncertainty and price pass-through effect of exchange rate in China," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).

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    More about this item

    Keywords

    Interest rate differentials; Economic policy uncertainty; Exchange rate; Financial crisis; COVID-19;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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