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The Application Study on Calculation Model of RMB Equilibrium Exchange Rate

Author: FanLing
Tutor: LiZhengHui
School: Hunan University
Course: Statistics
Keywords: Equilibrium exchange rate Real effective exchange rate Johansen cointegration H - P filtering method Exchange rate misalignment
CLC: F224
Type: Master's thesis
Year: 2009
Downloads: 97
Quote: 0
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Abstract


In this paper, the equilibrium exchange rate of RMB is mainly from four aspects . First , the height of the existing equilibrium exchange rate theory summary , and on this basis , the RMB Equilibrium Exchange Rate connotation and basic assumptions of the calculation model . Secondly , taking into account the advantage of the the BEER model in the calculation of the equilibrium exchange rate , this paper draws on the the BEER model basic idea combined with the RMB Equilibrium Exchange Rate empirical research experience , built from a decision by the Chinese economic fundamentals RMB equilibrium exchange rate calculation model . Again , the RMB Equilibrium Exchange Rate empirical research . This article focuses on the period after the July 2005 exchange rate system reform analysis , taking into account the stability and availability of the data , select the monthly data from January 2006 to December 2008 were analyzed . Use of RMB Equilibrium Exchange Rate calculation model and HP filtering method to calculate the RMB equilibrium exchange rate , and the real exchange rate and the equilibrium exchange rate compared draw RMB real exchange rate misalignment , and analysis of the RMB exchange rate misalignment . The results showed that : from January 2006 to December 2008 , the real exchange rate of the RMB has experienced underestimated twice and twice overestimated . Among them, from January 2006 to June 2006 and April 2007 , the real effective exchange rate of RMB is undervalued, but basically in the vicinity of the equilibrium exchange rate fluctuations , underestimate the magnitude of no more than 0.8% . July 2006 to March 2007 and from May 2007 to December 2008 , the two periods RMB real exchange rate is overvalued, but the magnitude of the overestimation of less than 5% . Overall, the RMB real exchange rate around the equilibrium exchange rate fluctuations. But one thing can not be ignored: the long run, the real exchange rate of RMB appreciation trend exists . Finally, a way to solve the RMB exchange rate misalignments and Suggestions .

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