Exchange Rate Regime?Exchange Rate Elasticity And The Asymmetry Effect Of Financial Accelerator

This paper is to analyze the asymmetric effect of financial accelerator based on the difference of exchange rate regime.We use the exchange rate flexibility to express the difference of exchange rate regime.Then we study the asymmetric effect of financial accelerator based on the exchange rate flexibility.According to the references,we have found that the current research about the influence of exchange rate regime is relatively seldom.Some lack the empirical analysis,some have the relatively backward data and the others are simple on the division of exchange rate system.So we use the exchange rate flexibility to express the exchange rate regime to analyze its' asymmetric effect of financial accelerator.This article is divided into the theoretical part and the empirical part.In the theoretical part,we introduce the current account of payments,investment,consumption and the credit amount and how these four factors impact the output and the transmission mechanism of financial accelerator under the fixed exchange rate system and floating exchange rate system respectively and the evolution process of our country's exchange rate system.In the empirical part,this paper draw the corresponding exchange rate flexibility using the state space model based on the method of G-R model by Girton&Roper(1977).We also put the balance of trade into the research.At last,the paper introduces the TVAR model and choose the current account of payments,investment,consumption and the credit amount as variables.Based on it this paper respectively use the exchange rate elasticity of national income,the interest rate,the trade balance as threshold variables to study its asymmetric effect on the financial accelerator.Based on the empirical analysis results,we can see that the threshold value are 0.17818,the F-statistic is 248.5309 and the P-statistic is 0.0020 in the TVAR model which use the exchange rate elasticity of national income as the threshold value.In the model that we use the the exchange rate elasticity of interest rate as the threshold value,the threshold value are 0.04578,the F-statistic is 368.1071 and the P-statistic is 0.0000.In the model that we use the exchange rate elasticity of trade balance as the threshold value,the threshold value are0.0191,the F-statistic is 198.1736 and the P-statistic is 0.0080.So all the threshold variable passed the test under the 95 percentage confidence level,proving that the TVAR model exists non-linear effect.The generalized impulse response function reveals that the asymmetric effect of financial accelerator under low and high exchange rate flexibility.What's more,the effect of financial accelerator is more obvious when the exchange rate flexibility is low.