A simple explanation of biased movements of renminbi exchange rate
Publication in refereed journal

香港中文大學研究人員

引用次數
替代計量分析
.

其它資訊
摘要The central parity of the renminbi is determined by the closing rate on the previous day according to the central parity formation mechanism following the August 2015 reform. This paper develops a simple model to study how this mechanism affects the currency's exchange rate dynamics. The central parity is shown to be under monotonic decay or growth conditional on its rate relative to the expected exchange rate determined by a generic stochastic process. Such dynamics requires the central bank to engage in vigorous intra-marginal intervention to halt currency depreciation (or appreciation). Such upward (or downward) bias will disappear if a randomizing factor subject to market conditions is incorporated into the mechanism. The analysis is consistent with the observations in the renminbi foreign exchange market, and the theories and results in the previous studies on target zones.
著者Hui CH, Lo CF
期刊名稱INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING
出版年份2018
月份12
卷號5
期次4
出版社WORLD SCIENTIFIC PUBL CO PTE LTD
文章號碼1850040
國際標準期刊號2424-7863
電子國際標準期刊號2424-7944
語言英式英語
關鍵詞China's exchange rate policy, renminbi, target zones, stochastics
Web of Science 學科類別Business, Finance;Business & Economics

上次更新時間 2020-07-08 於 02:47