Oral intervention in China: Efficacy of Chinese exchange rate communications

Zhichao Zhang (), He Li and Chuanjie Zhang

International Review of Financial Analysis, 2017, vol. 49, issue C, 24-34

Abstract: This paper analyses China's oral intervention and the efficacy of exchange rate communications by the Chinese monetary authorities. Applying the event study approach, we find that exchange rate communication could help the authorities to impact the Chinese exchange rate level moving in the desired direction. Also, China is responsive to international calls, particularly those from the US calling for the appreciation of the RMB exchange rate. But the response is moderately reluctant as the appreciation would occur after a delay of around two weeks. Finally, using the range-based variance model, confirmative evidence is found that successive, rather than solo, exchange rate communications can calm the exchange rate movement in terms of excess volatility.

Keywords: Oral intervention; Event studies; Non-parametric estimation; Exchange rate communication; Exchange rate level and volatility (search for similar items in EconPapers)
JEL-codes: E58 F31 G14 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:49:y:2017:i:c:p:24-34

DOI: 10.1016/j.irfa.2016.11.006

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