Time-Varying Exchange Rate Basket in China from 2005 to 2009

Jarko Fidrmuc

No 3147, CESifo Working Paper Series from CESifo

Abstract: We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in July 2005 with the introduction of a secret currency basket was followed by a smooth appreciation against the US dollar. Other currencies did not play a major role. We show that the US dollar again received a higher weight in the Chinese exchange rate policy already before the financial crisis of 2008.

Keywords: exchange rate regime; Kalman filter; financial crisis (search for similar items in EconPapers)
JEL-codes: C25 G21 G33 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Journal Article: Time-Varying Exchange Rate Basket in China from 2005 to 2009 (2010)
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