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Recent RMB policy and currency co-movements

Robert McCauley () and Chang Shu

No 727, BIS Working Papers from Bank for International Settlements

Abstract: This study investigates how variation in the determinants of the renminbi's daily fixing since the August 2015 exchange rate reform maps on to variation in the co- movement of the renminbi with regional and other emerging market currencies. We first identify three post-reform periods of RMB management: transition, basket management and countercyclical management. The co-movement with regional and Latin American currencies peaked in the basket period, when the daily fixing was most predictable and multilateral. By contrast, the decline in co-movement in the countercyclical management period between May and July 2017 leaves it premature to speak of a renminbi zone. The dependence of the co-movements on renminbi management has important implications for renminbi internationalisation.

Keywords: exchange-rate determination; renminbi (CNY) policy, renminbi zone, spillovers, renminbi internationalisation (search for similar items in EconPapers)
JEL-codes: F31 F33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mon
Date: 2018-06
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