Advanced Search
MyIDEAS: Login

The undisclosed Renminbi Basket: are the markets telling us something about where the Renminbi - US Dollar Exchange Rate is going?

Contents:

Author Info

  • Michael Funke

    ()

  • Marc Gronwald

    ()

Abstract

On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD) exchange rate using the family of time-varying autoregressive (TV-AR) models. Specifically, the nonlinear models allow for a smooth transition from one optimal level to another. Our estimation results imply that the RMB/USD exchange rate will likely be about 7.10 RMB/USD in summer/autumn 2009.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.uni-hamburg.de/fachbereiche-einrichtungen/fb03/iwwt/makro/MFMGRenminbi.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Hamburg University, Department of Economics in its series Quantitative Macroeconomics Working Papers with number 20812b.

as in new window
Length:
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:ham:qmwops:20812b

Contact details of provider:
Postal: Von-Melle-Park 5 D-20146 Hamburg
Phone: : +49 (0)40 42838-4674
Fax: +49 (0)40 42838-5546
Web page: http://www.uni-hamburg.de/onTEAM/grafik/1223630633/RePec/ham
More information through EDIRC

Related research

Keywords: China; renminbi; de facto exchange rate regime; TV-AR model; TV-AR-GARCH model;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Skalin, Joakim & Ter svirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(02), pages 202-241, April.
  2. Kim, Yong Jin, 2007. "A model of industrial hollowing-out of neighboring countries by the economic growth of China," China Economic Review, Elsevier, vol. 18(2), pages 122-138.
  3. Frankel, Jeffrey & Wei, Shang-Jin, 2008. "Estimation of De Facto Exchange Rate Regimes: Synthesis of The Techniques for Inferring Flexibility and Basket Weights," Working Paper Series rwp08-026, Harvard University, John F. Kennedy School of Government.
  4. van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo, 2001. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Working Paper Series in Economics and Finance 0429, Stockholm School of Economics, revised 16 May 2002.
  5. van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
  6. Soofi, Abdol S. & Cao, Liangyue, 1999. "Nonlinear deterministic forecasting of daily Peseta-Dollar exchange rate," Economics Letters, Elsevier, vol. 62(2), pages 175-180, February.
  7. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear Of Floating," The Quarterly Journal of Economics, MIT Press, vol. 117(2), pages 379-408, May.
  8. Yin-Wong Cheung & Menzie D. Chinn & Eiji Fujii, 2007. "The Overvaluation of Renminbi Undervaluation," CESifo Working Paper Series 1918, CESifo Group Munich.
  9. James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
  10. Guonan Ma & Corrinne Ho & Robert N McCauley, 2004. "The markets for non-deliverable forwards in Asian currencies," BIS Quarterly Review, Bank for International Settlements, June.
  11. Lall, Sanjaya & Albaladejo, Manuel, 2004. "China's Competitive Performance: A Threat to East Asian Manufactured Exports?," World Development, Elsevier, vol. 32(9), pages 1441-1466, September.
  12. Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick, 2000. "Time-Varying Smooth Transition Autoregressive Models," Working Paper Series in Economics and Finance 376, Stockholm School of Economics.
  13. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
  14. Cao, Liangyue & Soofi, Abdol S., 1999. "Nonlinear deterministic forecasting of daily dollar exchange rates," International Journal of Forecasting, Elsevier, vol. 15(4), pages 421-430, October.
  15. Guillaume Gaulier & Françoise Lemoine & Deniz Ünal, 2006. "China’s Emergence and the Reorganisation of Trade Flows in Asia," Working Papers 2006-05, CEPII research center.
  16. Michael, Panos & Nobay, A Robert & Peel, David A, 1997. "Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 105(4), pages 862-79, August.
  17. Matthew T. Holt & Lee A. Craig, 2006. "Nonlinear Dynamics and Structural Change in the U.S. Hog—Corn Cycle: A Time-Varying STAR Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(1), pages 215-233.
  18. Funke, Michael & Rahn, Jörg, 2004. "Just how undervalued is the Chinese renminbi?," BOFIT Discussion Papers 14/2004, Bank of Finland, Institute for Economies in Transition.
  19. Guy Debelle & Jacob Gyntelberg & Michael Plumb, 2006. "Forward currency markets in Asia: lessons from the Australian experience," BIS Quarterly Review, Bank for International Settlements, September.
  20. Guonan Ma & RobertN McCauley, 2008. "Efficacy Of China'S Capital Controls: Evidence From Price And Flow Data," Pacific Economic Review, Wiley Blackwell, vol. 13(1), pages 104-123, 02.
  21. Boero, Gianna & Marrocu, Emanuela, 2002. "The Performance of Non-linear Exchange Rate Models: A Forecasting Comparison," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(7), pages 513-42, November.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Liu, Li-Gang & Pauwels, Laurent, 2011. "Do External Political Pressures Affect the Renminbi Exchange Rate?," Working Papers 1 OMEWP, University of Sydney Business School, Discipline of Business Analytics.
  2. Jarko Fidrmuc, 2010. "Time-Varying Exchange Rate Basket in China from 2005 to 2009," CESifo Working Paper Series 3147, CESifo Group Munich.
  3. Das, Dilip K., 2009. "The evolution of renminbi yuan and the protracted debate on its undervaluation: An integrated review," Journal of Asian Economics, Elsevier, vol. 20(5), pages 570-579, September.
  4. Zhang, Zhichao & Shi, Nan & Zhang, Xiaoli, 2011. "China’s new exchange rate regime, optimal basket currency and currency diversification," BOFIT Discussion Papers 19/2011, Bank of Finland, Institute for Economies in Transition.
  5. Balasubramaniam, Vimal & Patnaik, Ila & Shah, Ajay, 2011. "Who cares about the Chinese Yuan?," Working Papers 11/89, National Institute of Public Finance and Policy.
  6. Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ham:qmwops:20812b. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.