Time-Varying Exchange Rate Basket in China from 2005 to 2009

Jarko Fidrmuc

Comparative Economic Studies, 2010, vol. 52, issue 4, 515-529

Abstract: We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in July 2005 with the introduction of a secret currency basket was followed by a smooth appreciation against the US dollar (USD). Other currencies did not play a major role. We show that the USD again received a higher weight in the Chinese exchange rate policy already before the financial crisis of 2008.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.palgrave-journals.com/ces/journal/v52/n4/pdf/ces201020a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/ces/journal/v52/n4/full/ces201020a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Time-Varying Exchange Rate Basket in China from 2005 to 2009 (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:compes:v:52:y:2010:i:4:p:515-529

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/41294/PS2

Access Statistics for this article

Comparative Economic Studies is currently edited by Nauro Campos

More articles in Comparative Economic Studies from Palgrave Macmillan, Association for Comparative Economic Studies Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().