The relationship between exchange rate and macroeconomic variables in China

Chi-Wei Su ()
Additional contact information
Chi-Wei Su: Wuhan University, Department of Finance, Taichung City, Taiwan

Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, 2012, vol. 30, issue 1, 33-56

Abstract: The objective of this study is to provide evidences on the relationship between Renminbi (RMB) exchange rate and macroeconomic variables in China, as well as guidelines for reform of RMB exchange rate regime. The long-run equilibrium relationship between RMB exchange rate and macroeconomic variables of China is examined by applying the non-parametric rank tests proposed by Breitung. Furthermore, this study uses the threshold error-correction model (TECM) to detect the nonlinear casual relationship between RMB exchange rate and macroeconomic variables that are nonlinear forms. The results show that RMB exchange rate and macroeconomic variables have nonlinear relationship with each other. In the long run, these results demonstrate solid evidence that RMB exchange rate and macroeconomic variables support the hypothesis of an asymmetrical error-correction process in China. Our results have important policy implications for Chinese government under study.

Keywords: RMB exchange rate; nonlinear rank test; threshold error correction model (search for similar items in EconPapers)
JEL-codes: C22 F41 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.efri.uniri.hr/sites/efri.hr/files/cr-c ... 012-1-1350651965.pdf (application/pdf)

Related works:
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:rfe:zbefri:v:30:y:2012:i:1:p:33-56

Access Statistics for this article

More articles in Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics from University of Rijeka, Faculty of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Danijela Ujcic ().