The undisclosed renminbi basket: are the markets telling us something about where the renminbi - US dollar exchange rate is going?

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.

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Year of publication:	2008
Authors:	Funke, Michael ; Gronwald, Marc
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	Wechselkurs \| Wechselkurssystem \| Währungskorb \| Autokorrelation \| ARCH-Modell \| China \| USA \| renminbi \| de facto exchange rate regime \| TV-AR model \| TV-AR-GARCH model

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Series:	CESifo Working Paper ; 2272
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	561445001 [GVK] hdl:10419/26317 [Handle]
Classification:	C22 - Time-Series Models ; F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation
Source:	EconStor

Persistent link: https://www.econbiz.de/10010264340