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An Empirical Investigation into Co-Movements between RMB Exchange Rates and the Global FX Market

Author: ZhangJianWu
Tutor: WangYingGui
School: Nanjing University of Finance and Economics
Course: Finance
Keywords: cointegration test RMB exchange rate global FX market
CLC: F831.52;F224
Type: Master's thesis
Year: 2011
Downloads: 93
Quote: 0
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Abstract


This paper studied the volatility of the CNY/USD,CNY/EUR,CNY/GBP and JPY/CNY exchange rate time series during September 1,2007, when China exerted the reform of RMB exchange rate system, and Septrmber 3o,2010. Statistical characteristic description demonstrated: no matter in the entire sample period or child sample period, the CNY/USD exchange rate sequence’s standard deviation was smaller than other three kind of currencies obviously. From the characteristic description of the child sample period, we can see that the CNY/USD exchange rate sequence’s standard deviation became more small after the crisis, while the other three kind of currencies standard deviation became increased. This stated that the volatility of the CNY/USD exchange rate became smaller after the crisis and was smaller than the other three kind of currencies obviously.While the volatility of the CNY/EUR, CNY/GBP, CNY/JPY exchange rate increased after the crisis.We constructed the VAR model of the EUR/USD, GBP/USD, JPY/USD exchange rate in the same period, using JJ cointegration test, investigated the changes of CNY/USD exchange rate in an global environment. Firstly, the correlation test showed that the CNY/USD exchange rate trend seemed to be no linkage with the global FX market. The correlation coefficients of the CNY/EUR, CNY/GBP, CNY/JPY against CNY/USD were 0.1464, 0.1387 and 0.1457, respectively. In contrast, the correlation coefficients between the EUR/USD, GBP/USD, JPY/USD exchange rate were very high. Secondly, JJ cointegration test results showed that there was no cointegration relationship between the CNY/USD exchange rate and global FX market, while there were significant cointegration relationship between the CNY/EUR, CNY/GBP,CNY/JPY and global FX market. This further indicated that the CNY/USD exchange rate had shown the trend of relatively independent and stable characteristics since the exchange reform.In view of the above studies, this paper put forward some recommendations related to the future direction of the RMB exchange rate formation system:expanding the volatility of the RMB exchange rate, exiting the essentially pegged to the USD dollar.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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