 The Impact of RMB Internationalization and International Situations on China’s Foreign Exchange Market: Dynamic Linkages between USD/CNY and SDR/CNYYang-Chao Wang, Jui-Jung Tsai and Xingyu Chen Emerging Markets Finance and Trade, 2021, vol. 57, issue 5, 1437-1454 Abstract: With the RMB becoming the fifth international payment currency and its inclusion in the SDR currency basket, coupled with the opening of China’s capital market, RMB-related exchange rates have attracted increasing attention because of China’s RMB internationalization strategy. Using the DCC-GARCH model, we investigate how domestic (China) and international (USA, EU, UK, and Japan) policies and situations, including RMB internationalization, U.S. QE, European Debt Crisis, Brexit, and Abenomics, influence co-movement of the USD/CNY and SDR/CNY exchange rates from 2010 to 2017. We analyze the co-movement and provide explicit explanations for distinct areas (unrelated, long-term negative, and abruptly positive co-movement areas). Further, we find that RMB-related exchange rates remain largely influenced by domestic policies, while because of China’s opening-up policies they are also influenced by the international situations. Both US and EU policies exert a remarkable influence, but the effects of UK and Japan policies are decreasing. Date: 2021 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:mes:emfitr:v:57:y:2021:i:5:p:1437-1454 Ordering information: This journal article can be ordered from DOI: 10.1080/1540496X.2019.1624521 Access Statistics for this article More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals |
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