China’s intervention in the central parity rate: A Bayesian Tobit analysis

He Li, Zhichao Zhang () and Chuanjie Zhang

Research in International Business and Finance, 2017, vol. 39, issue PA, 612-624

Abstract: This paper investigates China’s daily foreign exchange intervention through the setting and adjustment of the central parity rate, using daily data from July 22, 2005 to July 22, 2013. Applying a Bayes Tobit model, we find evidence that China’s daily price intervention decision is driven by market developments regarding the Chinese currency, international currency movements and macroeconomic conditions. The results further suggest that the objectives of China’s daily price intervention change not only over time, but also between high and low interventions.

Keywords: Foreign exchange intervention; Exchange rate policy; China; Tobit models; Gibbs sampling (search for similar items in EconPapers)
JEL-codes: C34 E58 F31 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:39:y:2017:i:pa:p:612-624

DOI: 10.1016/j.ribaf.2016.07.017

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