The Dynamic Changes of RMB after the Exchange Rate Reform A View from Weight of Basket Currency

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Ερμόλαος Κανακάρης-Ρούφος
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1 Saisical Research Vol. 28No. 2 Feb / 88% 2 rolling regression EMP C82 A The Dynamic Changes of RMB afer he Exchange Rae Reform A View from Weigh of Baske Currency Li Kai & Cheng Ping Absrac By using daily daa beween 2005 /7 /2and 2009 /8 /3we sudy he weigh of currency which RMB pegging oespecial ha of US dollaro explore he dynamic changes of RMB. We find he average weigh of USD is 88% and CUSUM sabiliy es reveals here exiss srucure changes2 in he rolling esimaiona coninuous picure of he weigh of USD is divided ino 3 sages increase slowlydecrease sharply and re-increase3 we inroduce EMP o our modelbu is effec is insignifican. Using he above resulswe explain he dynamic changes of RMB / USD afer he exchange regime reform. Key words Currency Weigh Rolling Esimaion EMP % / Frankel Wei 994

2 GARCH rolling regression EMP FrankelSchmukler Servén 2000 / Bénassy-QuéréCoeuréMignon 2004 ec Eichengreen 2006 ShahZeileisPanaik 2005 Frankel 2 Wei 2007 Frankel % EUR BRL USD RUB Calvo Reinhar 2002 Levy-Yeyai & Surzenegger Giron Poper 977 Exchange Marke Pressure EMP Frenkel Wei 2008 EMP EMP 20 Frenkel 2009 EMP clear floa EMP OLS JPY GBP HKD THB KRW CAD 895 TWD IDR 77 AUD PHP 75 MYR VND 673 INR ZAR 965 SGD NZD hp / / www. chinacusomssa. com / CusomsSa / hgj / hgjexpress. aspx 2 Frenkel 2009 hp / / www. pbc. gov. cn / deail. asp col = 486&ID = 95

3 IMF de faco 2 classificaion of exchange rae regime CHF p 2 IMF SDR SDR ΔE RMB / NUM = α α i ΔE X / NUM + δ i = NUM NUM = CHF SDR X 9 EUR USD JPY KRW TWD AUD MYR INR SGD BRL RUB GBP THB CAD IDR PHP VND ZAR NZD ΔE ΔE = log E + - log E 3 δ Pacific Exchange Rae Service 4 OLS ARCH 2 fa-ail GARCH ARCH 2 CUSUM R-square 90% / / / / 2009 / / GARCH 7 OLS 90% 77% 84% % OLS GARCH CHF SDR CHF SDR p p p C -. 6E-04 * -. 57E-04 * E-05 * E-05 * EUR E E E E-02 USD * * * * JPY KRW * * * * TWD * * * * AUD MYR * * * * INR SGD * * * * BRL * * RUB GBP * * THB CAD * * IDR * * PHP VND ZAR E E E-04 NZD R-square Diagnosics analysis ARCH 4 ARCH 8 ARCH Luis Servén hp / / fx. sauder. ubc. ca / daa. hml * 0% SDR OLS hp / / www. imf. org / exernal / np / mfd / er /2008 / eng / hm 2 Frankel Wei 995 SDR FrankelSchmukler GDP

4 CUSUM Rolling regression CUSUM window sep window window 300 GARCH 79 Eviews window sep window sep sep /4 = 79 OLS

5 EMP = Δe + Δr + Δi 4% 2 σ e e - σ r M 3 - σ i 2006 M i Δ 2% 4 σ e σ r σ i 5% 3 Savarek % σ e EMP = 5% 4 EMP EMP = Δe + σ e Δr + σ e Δi σ r M σ i Frenkel 2009 EMP EMP 5 = Δe + Δr M EMP 6 ΔE RMB / NUM = α α i ΔE X / NUM + βemp + δ 6 i = 0 β β = 0 β = EMP excess demand Giron β Poper 977 EMP Δr Δe EMP = Δr r + γ Δe e 2 γ Roper Turnovsky980 Weymark997 ec EichengreenRose M Wyplosz 995 EMP EMP σ e + σ r + σ i Δe + + σ i σ r σ e + σ r + σ i Δr M Δi 4 σ e σ r σ i hp / / www. pbc. gov. cn / diaochaongji / ongjishuju /

6 Federal Fund Rae 4 Federal Reserve Bank of New York 48 2 USD KRW TWD MYR SGD JPY EUR EMP 3 3 a b 7 c d c d EMP EMP b c C * * * * % - 0. % USD * * * * 8. 5% % EUR E % % JPY % % KRW * * * % 0. 4% TWD * * % 0. 4% MYR * * % -. 7% SGD * * % % EMP % R-square * 0% 7 20 b a % c b 4 / 3 EMP 4. 2% EMP d c EMP hp / / newyorkfed. org / markes / omo / dmm / fedfundsdaa. cfm 2 EMP EMP %

7 / OLS GARCH RegimeJ. Economic Policy % CUSUM 7 FrankelJ. and S. 2 rolling regression and Baske WeighsJ Levy-YeyaiE. and F EMP 2 RoperDon E. and Sephen J. membership perspecive J Exchange marke mayhem The anecedens and afermah of speculaive aacksj. Economic PolicyVol FrankelJeffreyand Shang-Jin WeiYen Bloc or Dollar Bloc Exchange Rae Policies of he Eas Asian Economies C. in Macroeconomic Linkages SavingsExchange Raes and Capial FlowsChicago Universiy of Chicago Press FrankelJ. and S. WeiAssessing China's Exchange Rae WeiEsimaion of De Faco Exchange Rae Regimes Synhesis of The Techniques for Inferring Flexibiliy. IMF Saff Papers FrankelJeffreyNew esimaion of China's exchange rae regime J. NBER working paper FrankelJeffreySergio Schmukler and Luis ServénVerifiabiliy and he Vanishing Inermediae Exchange Rae Regime M. Brookings Trade Forum2000. GironL. and D. RoperA Moneary Model of Exchange Marke Pressure Applied o he Poswar Canadian Experience J. American Economic Review SurzeneggerTo Floa or o Trail Evidence on he Impac of Exchange Rae Regimes on GrowhJ. American Economic Review TurnovskyOpimal exchange marke inervenion in a simple sochasic macro modelj. The Canadian Journal of EconomicsVol SavarekDanielComparaive analysis of he exchange marke pressure in cenral European counries wih he Euro zone. Munich Personal RePEc Archive PaperNo MunichGermany. 4WeymarkDlananMeasuring he degree of exchange marke inervenion in a small open economyj. Journal of Inernaional Money and FinanceVol J J. Bénassy-QuéréA. B. Coeuréand V. Mignon. On he Idenificaion of de faco Currency PegsJ. Journal of Japanese and Inernaional Economies CalvoGuillermoand Carmen ReinharFear of FloaingJ. Quarerly Journal of EconomicsVol EichengreenChina's Exchange Rae Regime The Long and Shor of Ipaper for conference on Chinese Money and FinanceC. Columbia UniversiyNew York EichengreenBarryAndrew K. Rose and Charles Wyplosz

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