中国金融学术研究网

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The Undisclosed Renminbi Basket: Are the Markets Telling Us Something About Where the Renminbi - Us Dollar Exchange Rate is Going?

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发布日期：2008年11月05日上次修订日期：2008年11月05日

Michael Funke funke@econ.uni-hamburg.de University of Hamburg Marc Gronwald University of Hamburg

摘要

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. 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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关键词：

China renminbi de facto exchange rate regime TV-AR model TV-AR-GARCH model

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