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The performance of one belt and one road exchange rate: Based on improved singular spectrum analysis

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  • Lai, Lin
  • Guo, Kun

Abstract

“One Belt and One Road” strategy in China is on push of foreign trade openness at northwest, southwest and northeast, absorption of the excess capacity and new support for economic increase. However, the fluctuation in RMB exchange rate with the countries along the road is unstable so related Chinese enterprises will face high risk of exchange rate. Precise explanation or prediction for exchange rate has been the challengeable hop point in the international finance. This paper decomposed the One Belt One Road Exchange Rate Index (OBORR) and the RMB Effective Exchange Rate Index (CNYX) into trend term, market fluctuation term and noise term using improved singular spectrum analysis (SSA). It turns out that the increasing velocity of OBORR is greater than that of CNYX in the long term, and there is dynamic lead–lag structure in the medium term. In the short term, the fluctuation range and frequency of OBORR are greater than those of CNYX, which means there will be more exchange rate risks in One Belt and One Road countries.

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  • Lai, Lin & Guo, Kun, 2017. "The performance of one belt and one road exchange rate: Based on improved singular spectrum analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 299-308.
    • Handle: RePEc:eee:phsmap:v:483:y:2017:i:c:p:299-308
    DOI: 10.1016/j.physa.2017.04.108
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    Cited by:

    1. Jiang, Yonglei & Sheu, Jiuh-Biing & Peng, Zixuan & Yu, Bin, 2018. "Hinterland patterns of China Railway (CR) express in China under the Belt and Road Initiative: A preliminary analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 119(C), pages 189-201.
    2. Yue-Jun Zhang & Yan-Lin Jin & Bo Shen, 2020. "Measuring the Energy Saving and CO2 Emissions Reduction Potential Under China’s Belt and Road Initiative," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1095-1116, April.
    3. Wei, Zhixi & Luo, Yu & Huang, Zili & Guo, Kun, 2020. "Spillover effects of RMB exchange rate among B&R countries: Before and during COVID-19 event," Finance Research Letters, Elsevier, vol. 37(C).

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