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RMB exchange rate volatility Empirical Analysis

Author: WenYueFeng
Tutor: LiuJiXian
School: Guangdong College of Commerce
Course: Finance
Keywords: RMB exchange rate Volatility Asymmetry Long Memory GARCH model
CLC: F832.6
Type: Master's thesis
Year: 2010
Downloads: 241
Quote: 0
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Abstract


In this paper, RMB / USD, RMB / euro , yuan / yen and the yuan / sterling exchange rate for the study sample , the RMB exchange rate return series and the absolute return series of the basic statistical characteristics, asymmetry and an empirical long memory study , the following conclusions : the RMB exchange rate and the absolute yield return series are not independent and identically distributed , do not obey the standard normal distribution , with a typical fat tail characteristics ; yield sequence does not exist or exist only very weak short-term autocorrelation, while absolute return series have a strong short-term autocorrelation ; yield on the RMB exchange rate sequence EGARCH-M model estimation results show that in addition yuan / yen yield a strong asymmetry the other three sequences very weak asymmetry effect . Information shock curve is also very clear that this conclusion ; using R / S method , respectively RMB exchange rate return series and absolute yields long memory test sequences with Hurst parameter estimation results show that in addition yuan / dollar return series other sequences are not available yields long memory , and absolute return series have a strong long memory characteristics .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Exchange rate,foreign financial relations
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