28 2 20 2 Saisical Research Vol. 28No. 2 Feb. 20 2008 2005 7 2-2009 8 3 / 88% 2 rolling regression 2006 0-2008 8 2008 9-2009 2009 2-2009 8 3 EMP C82 A 002-4565 20 02-0027 - 07 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 2005 7 2 2008 7 6% 2008 7 2009 7 6. 83 2008 7 / Frankel Wei 994
28 20 2 GARCH 2005 7 2-2009 8 3 rolling regression EMP FrankelSchmukler Servén 2000 / Bénassy-QuéréCoeuréMignon 2004 ec Eichengreen 2006 ShahZeileisPanaik 2005 Frankel 2 Wei 2007 Frankel 2009 2004 2005 2006 20 4 0. 996 2005-2008 20 20 80% 2008 2005-2008 20 282 776 780 EUR 28 329 890 BRL 277 53 702 USD 4 87 399 RUB Calvo Reinhar 2002 Levy-Yeyai & Surzenegger 2003 3 93 40 924 4 920 45 23 43 398 Giron Poper 977 Exchange Marke Pressure EMP Frenkel Wei 2008 EMP EMP 20 Frenkel 2009 EMP clear floa EMP OLS 223 652 50 JPY 35 057 928 GBP 75 948 496 HKD 3 358 88 THB 48 062 357 KRW 26 8 498 CAD 895 TWD 23 094 083 IDR 77 AUD 25 04 448 PHP 75 MYR 3 82 222 VND 673 INR 2 247 968 ZAR 965 SGD 3 427 244 NZD hp / / www. chinacusomssa. com / CusomsSa / hgj / hgjexpress. aspx 2 Frenkel 2009 hp / / www. pbc. gov. cn / deail. asp col = 486&ID = 95
28 2 29 IMF de faco 2 classificaion of exchange rae regime CHF p 2 IMF SDR SDR ΔE RMB / NUM = α 0 + 9 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 2005 7 22 2009 8 3 Pacific Exchange Rae Service 4 OLS ARCH 2 fa-ail GARCH ARCH 2 CUSUM R-square 90% 2 20 2008 7 2009 3 2005 /7-2008 /7 2008 /8-2009 / 2009 /2-2009 / GARCH 7 OLS 90% 77% 84% 2008 7 2009 4 88% OLS GARCH CHF SDR CHF SDR p p p C -. 6E-04 * -. 57E-04 * -8. 40E-05 * -8. 30E-05 * EUR - 9. 67E-05 -. 66E-02 -. 22E-02-6. 77E-02 USD 0. 887 * 0. 869 * 0. 922 * 0. 855 * JPY 0. 0023-0. 0029 0. 008-0. 004 KRW -0. 037 * -0. 038 * -0. 00875 * -0. 00895 * TWD 0. 0392 * 0. 0388 * 0. 0277 * 0. 0266 * AUD 0. 00533 0. 00532-0. 003-0. 0067 MYR 0. 0425 * 0. 042 * 0. 0396 * 0. 0388 * INR 0. 000255 0. 0006-0. 0042-0. 0036 SGD 0. 0542 * 0. 0554 * 0. 030 * 0. 0325 * BRL 0. 00425 0. 00470 0. 00727 * 0. 00793 * RUB - 0. 00405-0. 00438-0. 000705-0. 000904 GBP 0. 007 * 0. 00732 0. 035 * - 0. 0090 THB - 0. 0020-0. 0098 0. 00028 0. 00045 CAD - 0. 0084-0. 0084-0. 008 * -0. 006 * IDR - 0. 00248-0. 00237-0. 004 * -0. 007 * PHP - 0. 00874-0. 00782 0. 00267 0. 00447 VND 0. 00542 0. 00597-0. 000607 0. 000398 ZAR - 0. 005674-5. 55E-03-2. 04E-05. 29E-04 NZD - 0. 00320-0. 00348-0. 00428-0. 00445 R-square 0. 983 0. 92 0. 983 0. 98 Diagnosics analysis 2. 224 0. 064 2. 230 0. 063 0. 430 0. 787 0. 458 0. 766. 885 0. 058. 86 0. 062 0. 570 0. 802 0. 588 0. 788 ARCH 4 ARCH 8 ARCH 2 2. 05 0. 04 2. 6 0. 0 0. 425 0. 953 0. 437 0. 948 Luis Servén 2000 3 2004 4 hp / / fx. sauder. ubc. ca / daa. hml * 0% SDR OLS hp / / www. imf. org / exernal / np / mfd / er /2008 / eng / 0408. hm 2 Frankel Wei 995 SDR FrankelSchmukler GDP
30 20 2 2 CUSUM Rolling regression 3 2006 0-2008 8 2008 9-2009 2009 2-20098 CUSUM 2006 2008 7 0. 87 0. 92 2008 8 0. 92 2009 0. 80 2009 2 window sep 7 0. 85 window 2 2005 7 2 3 2009 8 3 07 4 20 window 300 GARCH 79 Eviews5. 0 79 2 2 2 3 4 2 window sep window 200 400 500 sep 3 4 5 2006 0 3 2005 7 22 2006 0 3 300 sep 4 000-300 /4 = 79 OLS 2005 2 2 3 2 0 2 3 3 4 5 2 3 4 5 6 7 8 9 0 2 3 2 0 2 3 2 3 4 3 4 5 9 0 0 2
28 2 3 2008 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 997 2008 7 2009 3% 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 0 + 9 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 2009 6 48 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 6 2005 7 hp / / www. pbc. gov. cn / diaochaongji / ongjishuju /
32 20 2 Federal Fund Rae 4 Federal Reserve Bank of New York 48 2 USD KRW TWD MYR SGD JPY EUR 7 2008 EMP 3 3 a b 7 c d c d EMP EMP b c C -0. 0006 * -0. 0006 * -0. 003 * -0. 004 * - 0. 3% - 0. % USD 0. 887 * 0. 887 * 0. 972 * 0. 930 * 8. 5% - 4. 2% EUR - 9. 67E-05-0. 0005 0. 56 0. 53 5. 7% - 0. 3% JPY 0. 002 0. 003 0. 009 0. 006 0. 6% - 0. 3% KRW -0. 04 * -0. 04 * -0. 059 * - 0. 055-4. 5% 0. 4% TWD 0. 039 * 0. 036 * 0. 07 0. 075 3. 5% 0. 4% MYR 0. 042 * 0. 037 * 0. 03 0. 086 6. 6% -. 7% SGD 0. 054 * 0. 053 * 0. 024 0. 05-2. 9% - 0. 9% EMP 0. 039 3. 9% R-square 0. 983 0. 983 0. 875 0. 875 * 0% 7 20 b a 7 2 0 5% c b 4 / 3 EMP 4. 2% EMP d c EMP 2008 2 0. 039 2008 7 hp / / newyorkfed. org / markes / omo / dmm / fedfundsdaa. cfm 2 EMP EMP 4 2004 3 8 0. 88 5 0. 2 4 2008 8 2009 0% 2009 2 3 5
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