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Management of the External Value of the Renminbi

Oksanen, Heikki - CESifo - 2015

Pegging the renminbi (RMB) to the US dollar since 1994 has characterised China’s exchange rate policy, under either a … suitable intermediary exchange rate regime for China as the risks of jumping to free floating are still great. Diversifying …

Persistent link: https://www.econbiz.de/10011272624

The Undisclosed Renminbi Basket: Are the Markets Telling us something about where the Renminbi – US Dollar Exchange Rate is Going?

Funke, Michael; Gronwald, Marc - CESifo - 2008

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 …

Persistent link: https://www.econbiz.de/10005765921

Pegging the Renminbi to a Basket - Facts, Prospects and Consequences

Oksanen, Heikki - CESifo - 2010

On 19 June 2010 the Chinese authorities announced that the renminbi (RMB) was henceforth to be pegged to a currency … Seoul Summit on 11-12 November 2010, China committed to further reform the RMB exchange rate regime. We discuss here what a … genuine basket peg could mean for China, with the view that the weight for the EUR should obviously be significantly increased …

Persistent link: https://www.econbiz.de/10008799734

On the Inclusion of the Chinese Renminbi in the SDR Basket

Benassy-Quere, Agnes; Capelle, Damien - CESifo - 2012

This paper studies the impact of a broadening of the SDR basket to the Chinese currency on the composition and volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much more significant impact can be expected in the next...

Persistent link: https://www.econbiz.de/10010877819

Oil Prices, Exchange Rates and Asset Prices

Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - CESifo - 2013

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Persistent link: https://www.econbiz.de/10010877722

Asset Pricing with Uncertain Betas: A Long-Term Perspective

Gollier, Christian - CESifo - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010877682

Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - CESifo - 2012

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10010603851

Do Markets Care about Central Bank Governor Changes? Evidence from Emerging Markets

Moser, Christoph; Dreher, Axel - CESifo - 2007

Central bank governor changes in emerging markets may convey important signals about future monetary policy. Based on a new daily data set, this paper examines the reactions of foreign exchange markets, domestic stock market indices and sovereign bond spreads to central bank governor changes....

Persistent link: https://www.econbiz.de/10005765858

Risk Premia in General Equilibrium

Posch, Olaf - CESifo - 2010

This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...

Persistent link: https://www.econbiz.de/10008511599

Dusting off the Perception of Risk and Returns in FOREX Markets

Cumperayot, Phornchanok - CESifo - 2003

In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize the long-run equilibrium of exchange rates, while the...

Persistent link: https://www.econbiz.de/10005094310