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A “TIME SERIES” APPROACH ON THE CHINESE EXCHANGE RATE REGIME
Marco Mele
Sažetak
This paper deals with the issue of the exchange rate regime that China has established since 2005,
when it announced a move away from the US dollar peg. In fact, from that date, the RMB was
managed with reference to a basket of currencies rather than being pegged to the dollar; the exchange
rate, therefore, became more flexible.
But, though in the presence of basket peg, early econometric analysis (Shan-2005, Frankel & Wei-
2006, Ogawa-2006, Yamazaky-2006) found that the assigned basket gave overwhelming weight to the
dollar, and that the degree of flexibility had hardly increased at all.
Almost all those studies used a technique introduced by Frankel in 1994 to estimate the weights in a
currency basket: on one side regressed changes in the value of the local currency, in this case the
RMB, while on the other one changes in the values of the dollar, the euro, the yen and other
currencies that may be in the basket.
Though there are numerous econometric techniques for estimating the exchange rate system, the
technique proposed by Frankel is still the most widely used. However, in our opinion, this model has
an error of autocorrelation among the variables, a factor that could lead the analysis to different
results.
Therefore, this work proposes a study on the Chinese exchange rate regime through an alternative
econometric technique.
Ključne riječi
Exchange Rate; China; Econometric ARMA model
Hrčak ID:
59414
URI
Datum izdavanja:
30.9.2010.
Posjeta: 2.163 *