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Risk Assessment of RMB Exchage Rate in the Wide Event Window

Author: LiuGang
Tutor: TianBoPing
School: Harbin Institute of Technology
Course: Operational Research and Cybernetics
Keywords: Generalized event window Time series analysis Risk assessment
CLC: O211.67
Type: Master's thesis
Year: 2007
Downloads: 31
Quote: 0
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Abstract


RMB exchange rate issue has become a hot topic of current international economic issues , after the appreciation of the RMB , the yuan is no longer pegged to the U.S. dollar , but with reference to a basket of currencies , the impact of changes in monetary policy , import and export , as well as financial market . Study the reform of the RMB exchange rate regime in the Generalized Event window in the RMB / USD , RMB / yen exchange rate changes have a certain significance . This requires an objective and correct analysis of exchange rate fluctuations and the trend . Two years RMB / USD , RMB / JPY day exchange samples , a detailed analysis of the risks and benefits of changes . The main content of the article is divided into four parts , the first part introduces the research background and research status ; second part is mainly used time series analysis model , especially the GARCH model for this article study was foreshadowing ; third part of the interference of the two events in the the generalized event window in the renminbi / yen exchange rate risks and benefits analysis yuan / yen exchange rate to improve benefits and risks have increased , but raised the deposit interest rate GARCH model , after the risks and benefits of RMB / yen has declined ; fourth part of the study of the People's Bank of China raised the RMB deposit reserve ratio of RMB / USD , RMB / yen exchange rate changes in risk compared studies have shown that the increase in the level of income of RMB / USD RMB / yen lower level of risk . Can be changed after the appreciation of the renminbi , RMB / yen , yuan / dollar exchange rate risk and income than appreciation .

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CLC: > Mathematical sciences and chemical > Mathematics > Probability Theory and Mathematical Statistics > Theory of probability ( probability theory, probability theory ) > Random process > Expectations and Forecast
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