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RMB real exchange rate misalignment measure

Author: ZhouYaRui
Tutor: ZhangHong
School: Liaoning University
Course: National Economics
Keywords: Competitiveness in international trade Real effective exchange rate Equilibrium real exchange rate Real exchange rate misalignment
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 57
Quote: 0
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Abstract


Equilibrium exchange rate has become a long-controversial topic. As in the past two decades China's rapid economic growth, the RMB exchange rate is in long-run equilibrium level of the research literature on the subject is also emerging in multitude. Since the equilibrium exchange rate affects a country's economic competitiveness, so the focus of research in general on the real exchange rate has deviated from its long-run equilibrium level on this issue. The reason of this problem, one of the most important reason is effective exchange rate management system helps achieve a country's economy and external balance. Otherwise, it would have the financial and economic system of a country have a negative impact, and even lead to financial crisis in some areas. Therefore, an objective measure of the status of the RMB real exchange rate misalignments and to study its effect on China's impact on competitiveness in international trade, not only with the past ten years the correct evaluation of China's exchange rate policy, but also for the future reform of the RMB exchange rate regime to provide further basis for decision making. This paper estimates the recent years (first quarter of 1999 to the first quarter 2010) equilibrium real effective exchange rate of the time-varying values ??and joint exchange rate misalignment value, the study is based on Elbadawi (1994) proposed a simplified balance for developing countries the real exchange rate (ERER) model, and draws on Edwards (1989,1994) model of exchange rate determination regarding the content. This article will trade, openness, government spending, productivity and money supply as the long-term equilibrium value RMB important explanatory variables, and the use of Johansen-Juselius (1990) cointegration analysis to analyze the data. In the equilibrium real exchange rate (ERER) under the framework of the model, the results showed that the RMB real effective exchange rate and economic fundamentals cointegration relationship exists between, and the establishment of the error correction model reveals the extent of the exchange rate is not great disorder in the sample period in the long-run equilibrium levels fluctuate within ± 12%. Focus on the recent RMB exchange rate misalignment degree studies, the results showed that in 2005: Q3-2010: Q1 between the yuan is undervalued by about 6.7 per cent level. Moreover, the establishment of short-term error correction model that in the absence of any external intervention, the real effective exchange rate will rapidly converge to the long-term equilibrium level. Finally, the use of export market share of indicators to measure the international competitiveness of China's status, and degree of RMB real exchange rate misalignments and China's export market share for Granger causality test results show that the 2005: Q3-2010: Q1 period yuan real exchange rate misalignment and the international competitiveness of China there is a negative correlation between, and the RMB real exchange rate misalignment is causing changes in the international competitiveness of Chinese Granger cause, specifically, overvalued real exchange rate will lead to decline in the international competitiveness of China.

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