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Impact of Different Forms of Interest Rate Differential on the Flexible Price Monetary Model

机译：不同形式的利率差异对弹性价格货币模型的影响

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摘要

In this paper, in order to investigate whether the impact of different forms of interest rate differential may pass on to the flexible price monetary model, two flexible price monetary models, which are separately derived from the generalized monetary models with log-level interest rate differential and that with interest rate differential, are tested for China yuan to US dollar exchange rate. Through Johansen maximum likelihood method, we find that there is little support in the cointegrating coefficient estimates for both flexible price monetary models for yuan/dollar exchange rate. However, the latter is generally better than the former in the light of sum of squared residual and log likelihood statistics. Therefore, we conclude that there is no transitive impact of different forms of interest rate differential on the flexible price monetary model.
机译：在本文中，为了研究不同形式的利率差异的影响是否会传递给弹性价格货币模型，从具有对数水平利率差异的广义货币模型中分别衍生出两个弹性价格货币模型以及带有利率差的汇率，将测试人民币对美元的汇率。通过Johansen最大似然法，我们发现对于人民币/美元汇率这两种灵活的价格货币模型，在协整系数估计中几乎没有支持。但是，从残差平方和对数似然统计的总和来看，后者通常比前者更好。因此，我们得出结论，不同形式的利率差异对弹性价格货币模型没有传递性影响。

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