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Emerging Markets Finance and Trade Volume 48, 2012 - Issue sup2
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Original Article

Time-Varying Effects of Changes in the Interest Rate and the RMB Exchange Rate on the Stock Market of China: Evidence from the Long-Memory TVP-VAR Model

Guangxi Cao School of Economics and Management, Nanjing University of Information Science and Technology
Pages 230-248 | Published online: 07 Dec 2014

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Liming Chen, Zhi Zhang, Ziqing Du & Lingling Deng. (2021) Heterogeneous determinants of the exchange rate market in China with structural breaks. Applied Economics 53:59, pages 6839-6854.
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Flávio de Freitas Val, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto & Claudio Henrique da Silveira Barbedo. (2018) Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case. Emerging Markets Finance and Trade 54:11, pages 2577-2595.
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Oguzhan Ozcelebi & Nurtac Yildirim. (2017) Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries. The Journal of International Trade & Economic Development 26:2, pages 228-255.
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Lestano & Gerard H. Kuper. (2016) Correlation Dynamics in East Asian Financial Markets. Emerging Markets Finance and Trade 52:2, pages 382-399.
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Riané de Bruyn, Rangan Gupta & Reneé van Eyden. (2015) Can We Beat the Random-Walk Model for the South African Rand–U.S. Dollar and South African Rand–UK Pound Exchange Rates? Evidence from Dynamic Model Averaging. Emerging Markets Finance and Trade 51:3, pages 502-524.
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Priscilla Liang & Thomas D. Willett. (2015) Chinese Stocks during 2000–2013: Bubbles and Busts or Fundamentals?. The Chinese Economy 48:3, pages 199-214.
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Ovidiu Stoica, AncaElena Nucu & Delia-Elena Diaconasu. (2014) Interest Rates and Stock Prices: Evidence from Central and Eastern European Markets. Emerging Markets Finance and Trade 50:sup4, pages 47-62.
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Articles from other publishers (13)

Xiangning Wang, Qian Huang & Shuguang Zhang. (2023) Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method. The North American Journal of Economics and Finance 67, pages 101939.
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Jianxu Liu, Yang Wan, Songze Qu, Ruihan Qing & Songsak Sriboonchitta. (2022) Dynamic Correlation between the Chinese and the US Financial Markets: From Global Financial Crisis to COVID-19 Pandemic. Axioms 12:1, pages 14.
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Lin Chen, Fenghua Wen, Wanyang Li, Hua Yin & Lili Zhao. (2022) Extreme risk spillover of the oil, exchange rate to Chinese stock market: Evidence from implied volatility indexes. Energy Economics 107, pages 105857.
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Ziyun Zhang & Sen Guo. (2021) What Factors Affect the RMB Carry Trade Return for Sustainability? An Empirical Analysis by Using an ARDL Model. Sustainability 13:24, pages 13533.
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Donia Aloui. (2021) The COVID-19 pandemic haunting the transmission of the quantitative easing to the exchange rate. Finance Research Letters 43, pages 102025.
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Qian Huang, Xiangning Wang & Shuguang Zhang. (2021) The effects of exchange rate fluctuations on the stock market and the affecting mechanisms: Evidence from BRICS countries. The North American Journal of Economics and Finance 56, pages 101340.
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Jinyu Chen, Xuehong Zhu & Hailing Li. (2020) The pass-through effects of oil price shocks on China's inflation: A time-varying analysis. Energy Economics 86, pages 104695.
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Wei Feng & Ming Chen. (2020) The Impact of Monetary Policy on China's Stock Prices Base on TVP-VAR Model. The Impact of Monetary Policy on China's Stock Prices Base on TVP-VAR Model.
Ying-Zhe Zhou, Jian-Bai Huang & Jin-Yu Chen. (2019) Time-varying effect of the financialization of nonferrous metals markets on China's industrial sector. Resources Policy 64, pages 101481.
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Jia Liao, Qi Qian & Xiangyun Xu. (2018) Whether the fluctuation of China’s financial markets have impact on global commodity prices?. Physica A: Statistical Mechanics and its Applications 503, pages 1030-1040.
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Xiuying Ma, Zhihua Yang, Xiangyun Xu & Chengqi Wang. (2018) The impact of Chinese financial markets on commodity currency exchange rates. Global Finance Journal 37, pages 186-198.
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Sheng Fang & Paul Egan. (2018) Measuring contagion effects between crude oil and Chinese stock market sectors. The Quarterly Review of Economics and Finance 68, pages 31-38.
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Baogui Xin & Jinyi Zhang. (2014) Finite-time stabilizing a fractional-order chaotic financial system with market confidence. Nonlinear Dynamics 79:2, pages 1399-1409.
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