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

Michael Funke; Marc Gronwald

doi:10.1111/j.1467-9701.2008.01141.x

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

Michael Funke, Marc Gronwald

Economics

University of Hamburg

Research output: Contribution to journal › Article › peer-review

19 Citations (Scopus)

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 utilise nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/US dollar (RMB/USD) exchange rate using the family of time-varying autoregressive (TV-AR) models. The results indicate that the forward-looking nonlinear model adequately depicts the gradual reform process underlying the new RMB exchange rate regime.

Original language	English
Pages (from-to)	1581-1598
Number of pages	18
Journal	The World Economy
Volume	31
Issue number	12
DOIs	https://doi.org/10.1111/j.1467-9701.2008.01141.x
Publication status	Published - 3 Dec 2008

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title = "The undisclosed renminbi basket: are the markets telling us something about where the renminbi–US dollar exchange rate is going?",

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 utilise nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/US dollar (RMB/USD) exchange rate using the family of time-varying autoregressive (TV-AR) models. The results indicate that the forward-looking nonlinear model adequately depicts the gradual reform process underlying the new RMB exchange rate regime.",

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AB - 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 utilise nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/US dollar (RMB/USD) exchange rate using the family of time-varying autoregressive (TV-AR) models. The results indicate that the forward-looking nonlinear model adequately depicts the gradual reform process underlying the new RMB exchange rate regime.

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

Abstract

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