Time-varying multifactorial effects on foreign exchange reserves amid risk shocks
In the face of significant risks such as the Russia-Ukraine conflict,it is essential to precisely identify the impacts of external shocks on China's foreign exchange reserves.Employing the time-varying parameter stochastic volatility vector autoregression(TVP-SV-VAR)model,the key contributing factors to foreign exchange reserves from the perspectives of both supply and demand are investigated.The results show that the impact of exchange rates and interest rates on China's foreign exchange reserves has a time-varying characteristic.Since 2008,China's demand for imported and exported goods has lacked elasticity and failed to meet the Marshall-Lerner condition,indi-cating that renminbi depreciation has hindered the accumulation of foreign exchange reserves.Interest rates and in-flation impact China's foreign exchange reserves via the exchange rate,yet inflation's contribution to the increment of foreign exchange reserves has been relatively stable.Despite sudden external shocks,the foreign exchange re-serves quickly adjust to the impacts of inflation and swiftly return to equilibrium within a short timeframe.
万方数据
维普
