Recent RMB policy and currency co-movements
Robert McCauley () and
No 727, BIS Working Papers from Bank for International Settlements
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)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:727
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