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Measure the degree of currency mismatch and influencing factors

Author: GuJiaKui
Tutor: ChenShouDong
School: Jilin University
Course: Quantitative Economics
Keywords: Currency mismatch Principal component analysis Granger causality test VAR model Impulse response function
CLC: F822
Type: Master's thesis
Year: 2011
Downloads: 136
Quote: 1
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Abstract

Currency mismatches in emerging market countries are developing a common monetary phenomenon, these emerging market countries in the early stages of development is mainly debt-based currency mismatch, that foreign currency debt is greater than the foreign currency assets. As the two gaps, leading to the presence of external debt default risk, or even a currency crisis. In general, after the crisis, these countries have taken relevant measures to reduce the country's currency mismatch gap, making the country's currency mismatch to the creditors by the debt-type transformation, a process that has accumulated different amounts of net foreign currency assets, the question arose new debt currency mismatch problem. China is a developing economic power, but also the inevitable existence of currency mismatch problem, of course, our currency mismatch has its own unique characteristics. The most significant problem is that Chinese growth in foreign currency assets and liabilities are not balanced, so that both produced a significant currency mismatch gap, accumulated a huge amount of net foreign asset position. July 2005 our country will improve the RMB exchange rate formation mechanism reform, the implementation of market supply and demand with reference to a basket of currencies, a managed floating exchange rate system. In the exchange rate reform, China has adopted a fixed exchange rate regime is basically the exchange rate from the exchange control department. Exchange rate reform, the RMB has been facing pressure to appreciate, the proportion declined against the dollar, which will cause our foreign currency assets inevitably face the risk of loss, and the risk gradually diffused from the macro to the micro level. This paper summarizes research scholars at home and abroad on the basis of special economic reality for China to study the Chinese currency mismatch. The main content of this paper is divided into five chapters. Chapter 1, Introduction. This chapter first describes the background of this writing, of the problem and the problem of meaning; followed by detailed and accurate description of the current domestic and international research status of the issue, the relevant literature were reviewed; finally introduced the content of this study and writing the basic framework. Chapter 2, currency mismatch theories and models. First, this chapter combined to study the problem, select a part of this study involved the classical theoretical model is described in detail, for subsequent empirical research to provide theoretical support; then the question of this study, a brief introduction to empirical testing later chapters used in the model approach. Chapter 3, China's currency mismatch measurement and analysis. In this chapter, firstly analyzes the currency mismatch caused by reasons arising constructed Factors Affecting currency mismatch indicator system; then draw on economic sentiment synthesis method, using principal component analysis (PCA) calculated the country's currency mismatch level, and the level of future currency mismatch was predicted; finally happened by examining the international monetary crisis the relevant national currency mismatch extent, to verify the reasonableness of the index. Chapter 4 Factors Affecting currency mismatch empirical test. This chapter first studied Chinese there is so much debt currency mismatch causes, select the relevant variables as a proxy of macroeconomic variables; and empirical tests of the currency mismatch gap variation and foreign exchange rates, interest rate, inflation, domestic capital market relationship between the degree of original sin, test methods including long-term cointegration, linear and nonlinear Granger causality test, impulse response functions and variance decomposition; final result by the impact of currency mismatch factor analysis, presented appropriate policy recommendations. In this paper, the relevant empirical test, draw some meaningful conclusions. First, by analyzing the resulting currency mismatch causes, four of eight selected economic indicators index system composed of currency mismatch, using principal component analysis synthesized the degree of China's currency mismatch Composite Index (abbreviated as GICM), portrayed the level of China's currency mismatch that exists in our country more serious debt currency mismatches. Then, using ARIMA models, to get the index of currency mismatch predictive value, although the currency mismatch the next three years has been a decline, but still at a relatively high level. Occurred through the use of the international monetary crisis countries and regions, data, synthesis of the relevant economies degree of currency mismatch index, verify that the composite index is reasonable and effective. Secondly, the analysis of the impact of currency mismatch degree of state macroeconomic factors, select the relevant proxy for the empirical test, the test results show that the exchange rate, interest rate and domestic capital markets and currency mismatches degree of original sin gap exists a positive correlation between long-term , and the current impact of these variables more significant. Again, through the establishment of relevant variables VAR models examined currency mismatch gap with linear and nonlinear Granger causality test between variables derived nonlinear Granger causality relatively more significant; Finally, impulse response functions and variance decomposition further Research related variables on the impact of changes in currency mismatch mechanism empirical results show that the relevant variables to a positive impact of changes in currency mismatch will cause a positive reaction, but the impact of different levels, including the impact of exchange rates and spreads relatively significant.

Measure the degree of currency mismatch and influencing factors

Abstract

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