کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7375158 | 1480067 | 2018 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality
ترجمه فارسی عنوان
اثربخشی سیاست پولی در چین: شواهد جدید از تجزیه و تحلیل همبستگی دراز مدت و مولفه های چند فاکتوریل
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کلمات کلیدی
چند فاکتوریل، کارایی بازار، همبستگی متقابل بلندمدت، سیاست های پولی،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
This study examines the long-range cross-correlations between the Chinese Renminbi (RMB) exchange rate and the Shanghai Interbank Offered Rate (Shibor) markets both on qualitative and quantitative basis, using a comprehensive dataset covering the period from October 8, 2006 to September 30, 2016. Our empirical results suggest that a nonlinear time-varying correlation exists between the markets. We also verify that the third stage of China's monetary policy reform from 2011 to 2016 had a greater influence on both small and large foreign exchange (FX) market fluctuations. Using the multifractality analysis, we conclude that China's monetary policy can significantly reduce the multifractality of cross-correlations between the RMB exchange rate and Shibor rate markets, and that market efficiency in the third stage of policy reform is improved. Furthermore, the source of multifractality of cross-correlations is found mostly in the nonlinear correlation and fat-tailed probability distribution (PDF) components.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 506, 15 September 2018, Pages 1026-1037
Journal: Physica A: Statistical Mechanics and its Applications - Volume 506, 15 September 2018, Pages 1026-1037
نویسندگان
Jing Qin, Jintian Ge, Xinsheng Lu,