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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

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

Global Business Cycles and Credit Risk

Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - CESifo - 2005

The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...

Persistent link: https://www.econbiz.de/10005765811

Macroeconomic Dynamics and Credit Risk: A Global Perspective

Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - CESifo - 2003

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Persistent link: https://www.econbiz.de/10005766168

Firm Heterogeneity and Credit Risk Diversification

Hanson, Samuel; Pesaran, M. Hashem; Schuermann, Til - CESifo - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...

Persistent link: https://www.econbiz.de/10005766213

China and its Dollar Exchange Rate: A Worldwide Stabilizing Influence?

McKinnon, Ronald Ian; Schnabl, Gunther - CESifo - 2011

potentially subsidized capital allocation in China the real yuan/dollar rate is undervalued. This has caused—both in China and the …

Persistent link: https://www.econbiz.de/10009019144

China’s Exchange Rate and International Adjustment in Wages, Prices, and Interest Rates: Japan Déjà Vu?

McKinnon, Ronald Ian; Schnabl, Gunther - CESifo - 2006

China keeps its exchange rate tightly fixed to the dollar. Its productivity growth and trade surplus have been high …, and it continues to accumulate large dollar reserves. Many observers take this as evidence that the renminbi is … undervalued and should be appreciated to reduce the Chinese trade surplus. We argue that an appreciation of the renminbi need not …

Persistent link: https://www.econbiz.de/10005765836

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

Has the Euro Affected the Choice of Invoicing Currency?

Ligthart, Jenny; Werner, Sebastian E. V. - CESifo - 2010

We present a new approach to study empirically the effect of the introduction of the euro on currency invoicing. Our approach uses a compositional multinomial logit model, in which currency choice depends on the characteristics of both the currency and the country. We use unique quarterly panel...

Persistent link: https://www.econbiz.de/10008533991