The Multifactor Time-Varying Effects of Risk Shocks on Foreign Exchange Reserves
DOI:
https://doi.org/10.62051/np0yp325Keywords:
foreign exchange reserves, time-varying characteristics, TVP-SV-VAR, risk shocksAbstract
This paper employs the TVP-SV-VAR model to analyze the time-varying characteristics of China's foreign exchange reserve changes from the perspectives of interest rates, exchange rates, and inflation, with a focus on four critical periods. The findings reveal that the positive impact of the federal funds rate on foreign exchange reserves is more pronounced in the medium to long term, while the negative impact is more significant in the short term. During the 2008 financial crisis, the impulse effects of various variables on foreign exchange reserves were more pronounced compared to other crisis periods.
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