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
Year of publication: |
[2013]
|
---|---|
Authors: | Funke, Michael |
Other Persons: | Gronwald, Marc (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | USA | United States | Wechselkurs | Exchange rate | Autokorrelation | Autocorrelation | Währungskorb | Currency basket | Renminbi | Wechselkurssystem | Exchange rate regime | China | ARCH-Modell | ARCH model |
Saved in:
freely available
Extent: | 1 Online-Ressource (24 p) |
---|---|
Series: | CESifo Working Paper Series ; No. 2272 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2008 erstellt |
Other identifiers: | 10.2139/ssrn.1117883 [DOI] |
Classification: | C22 - Time-Series Models ; F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012753619