关键词: 货币政策规则, 资本流动, 汇率变动, NARDL

Abstract: In order to explain the causes of exchange rate changes, we extend the open Taylor rule with exchange rate expectation, international capital flow and risk premium from the perspective of theoretical analysis. Further, this paper proposes nonlinear autoregressive distribution lag model to investigate the relationship between extended Taylor rule and RMB exchange rate. We find that the asymmetry effect of the extended Taylor rule on RMB exchange rate is significant, but is different in the long and short run. In particular, the Sino-US interest rate difference, output gap difference, inflation difference and exchange rate expectation produces a strong superposition effect on RMB exchange rate, and the kind of effect is also obvious in the depreciation environment. The impact of international capital flows on RMB exchange rate is greater, followed by the exchange rate expectation. The asymmetric effect of risk premium on exchange rate is mainly caused by investors’ reverse selection. Therefore, in order to avoid forming the depreciation expectation and keep exchange rate in the balance range fluctuations, the authorities should build a predictable monetary policy framework and take effective measures to regulate capital flows and reduce risk premium.

Key words: Monetary Policy Rule, Capital Flow, Exchange Rate Change, NARDL