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Effectiveness of the RMB exchange rate regime reform: A new perspective from MF-DMA and MF-X-DMA

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  • Li, Jianfeng
  • Lu, Xinsheng
  • Qu, Ling

Abstract

This paper investigates the successes and flaws of China’s RMB exchange regime reform launched on August 11, 2015, from three perspectives: The market efficiency, interaction between the onshore and offshore RMB markets and the effectiveness of Chinese monetary policy. The dataset covers the period of June 27, 2011–April 20, 2018, and contains 1,435 observations for each series, including the daily closing values of the spot RMB exchange rate, 1-, 3-, 6-, and 9-month forward exchange rates, and 7-day Shanghai Interbank Offered Rate (Shibor). Our empirical results show that the reform of China’s exchange rate regime in 2015 has had both successes and flaws, which was not completely successful as a whole. The successful part of the reform consists of its contribution in enhancing the efficiency of the RMB exchange rate market, reducing the disturbance caused by monetary policy on the onshore market, and increasing the influence of monetary policy on the offshore market. The unsuccessful part of the exchange regime reform consists of its role in reducing the correlation between the onshore and offshore markets.

Suggested Citation

  • Li, Jianfeng & Lu, Xinsheng & Qu, Ling, 2019. "Effectiveness of the RMB exchange rate regime reform: A new perspective from MF-DMA and MF-X-DMA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
    • Handle: RePEc:eee:phsmap:v:531:y:2019:i:c:s0378437119308994
    DOI: 10.1016/j.physa.2019.121535
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    Cited by:

    1. Aslam, Faheem & Zil-e-huma, & Bibi, Rashida & Ferreira, Paulo, 2022. "Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis," Resources Policy, Elsevier, vol. 75(C).
    2. Ruan, Qingsong & Meng, Lu & Lv, Dayong, 2021. "Effect of introducing Bitcoin futures on the underlying Bitcoin market efficiency: A multifractal analysis," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
    3. Sun, Guanglin & Li, Jianfeng & Shang, Zezhong, 2022. "Return and volatility linkages between international energy markets and Chinese commodity market," Technological Forecasting and Social Change, Elsevier, vol. 179(C).

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