Due not only to a dominant role of the US dollar in regional trade and financial transactions but also to de facto US dollar pegged exchange rate policy,Asian countries cannot avoid exchange rate risks between their o...Due not only to a dominant role of the US dollar in regional trade and financial transactions but also to de facto US dollar pegged exchange rate policy,Asian countries cannot avoid exchange rate risks between their own currency and the US dollar.In recent years,however,the Chinese government has actively promoted the Renminbi(RMB)internationalisation especially in intermational trade.In December 2015,China introduced a new exchange rate index against a basket of 13 trade-weighted currencies,which can be considered a major turning point from the US dollar standard toward a more flexible currency basket system.However,the estimated implicit basket weights reveal that several Asian economies still tend to stabilise their currencies against the US dollar,while Malaysia and Singapore have stabilised their currencies against RMB in recent years.Since the internationalisation of local currencies and regional monetary arrangements are typically facilitated with each other,further progress of RMB internationalisation is expected to promote a leading role of China in establishing regional exchange rate policy coordination.展开更多
The exchange rate reform initiated on August 11,2015 is an important attempt by the PBoC to transform China's exchange rate regime from the "crawl-like arrangement" to a floating regime.However,after a t...The exchange rate reform initiated on August 11,2015 is an important attempt by the PBoC to transform China's exchange rate regime from the "crawl-like arrangement" to a floating regime.However,after a three-day experiment,the PBoC abandoned the original goal of the reform.Since then,the central bank has implemented a new exchange rate-setting mechanism.Under this mechanism,the central parity of the renminbi(RMB) against the US dollar is decided by the arithmetic average of the RMB exchange rate that keeps the index of a currency basket unchanged over the past 24 hours and the previous day's closing price of USD/CNY.Due to the introduction of the index of a currency basket,additional uncertainty has been introduced into the determination of the RMB exchange rate,because of the uncertainty of the dollar index(USDX).As a result,to a certain extent,the one-way bet on the RMB expectations is weakened.However,the current exchange rate formation mechanism cannot reverse the trend of devaluation of the RMB,nor can it eliminate depreciation expectations.Meanwhile,it hinders the effectiveness of central bank's independent monetary policy based on the domestic economic fundamentals.And also,the "two-way float" created by the new price-setting mechanism is artificial and has led to significant losses of foreign exchange reserve.The paper explains how the new price-setting mechanism works,and identifies the important features of the mechanism and its pros and cons.The paper argues that despite some advantages,the new exchange rate regime as a soft peg regime is not sustainable and the PBoC should stop foreign exchange market intervention as soon as possible.We hope that the PBoC can learn the lessons from the failure of the "August 11 reform" and accomplish the unaccomplished reform in an urgent manner.展开更多
This paper constructs an RMB/USD exchange rate index and a basket currency exchange rate index. The correlation maximization of the RMB/USD and the basket currency index may determine the weight and quantity of the ba...This paper constructs an RMB/USD exchange rate index and a basket currency exchange rate index. The correlation maximization of the RMB/USD and the basket currency index may determine the weight and quantity of the basket currency. The currency basket indicates that the weight of the USD is highest, whereas that of the GB Pound is the lowest. Our currency basket has a high linear dependence on that of the central bank. We found that the RMB/USD and currency basket indices have a long-term co-integration relationship according to the optimal currency weights. The results of the error-correcting model manifest as the RMB/USD exchange rate deviates from the long-term equilibrium level, wherein 76.3% will be corrected. This paper checks the prediction capacity, which indicates the good fit of the model. By using the Granger causality test the findings show that the People's Bank of China adjusts the RMB/USD exchange rate with reference to the currency basket.展开更多
In this paper, the actual exchange rate policy conducted by the Chinese government after the Chinese exchange rate system reform on 21 July 2005 is investigated. Also, the long-run effect is investigated, including th...In this paper, the actual exchange rate policy conducted by the Chinese government after the Chinese exchange rate system reform on 21 July 2005 is investigated. Also, the long-run effect is investigated, including the Balassa-Samuelson effect on the Chinese yuan. It was found that the Chinese government generated a statistically significant but small change in exchange rate policy during the sample period until 25 January 2006. It was not identified that the Chinese monetary authority is adopting the currency basket system because the change is too small in the economic sense. It is indicated that the Chinese government should take account of the productivity growth of countries composing the currency basket in order to operate a currency basket regime.展开更多
In the present paper, we estimate the de facto RMB exchange rate regime, the currency basket, the floating band and the foreign exchange market pressure before and after the reform of the Chinese exchange rate regime ...In the present paper, we estimate the de facto RMB exchange rate regime, the currency basket, the floating band and the foreign exchange market pressure before and after the reform of the Chinese exchange rate regime in 2005. We find the following stylized facts: the value of the RAIB became stable after the reform; the weight of the US dollar remained high in the basket, while other currencies remained statistically significant; and the floating band gradually increased to lO percent during 2005-2008, and then greatly narrowed from the late summer of 2008 under the assumption of a yearly resetting interval. We find that the foreign exchange market pressure increased from 2005 to 2008. A possible reason is that the weight of the US dollar in the basket was slightly lower than the share of the US dollar in total transactions on the Chinese foreign exchange market. Therefore, it is reasonable for China to adopt a dollar peg exchange rate regime.展开更多
The Chinese authorities have often emphasized the importance of maintaining the renminbi's stable exchange rate without stating explicitly how this stability should be measured. This paper argues that the relevant co...The Chinese authorities have often emphasized the importance of maintaining the renminbi's stable exchange rate without stating explicitly how this stability should be measured. This paper argues that the relevant concept for this stability should be in terms of the rnminbi's effective exchange rate, rather than its rate against any particular currency, such as the U. S. dollar. Under the current circumstances where key currencies' exchange rates fluctuate freely, if the authorities wish to maintain the stability of the renmnibi's effective exchange rate, they would want to let the renminbi's exchange rate fluctuate much more against the U. S. dollar than in the past because such fluctuations would greatly reduce the magnitude of the renminbi's fluctuations against other key currencies and thus its effective exchange rate. This point has been demonstrated by illustrative figures and by comparing the renminbi's hypothetical, greater exchange rate fluctuations with its actual fluctuations.展开更多
基金supported by the Japan Society for the Promotion of Science(JSPS)(Grant nos.15K03548,16H03638,16H03627 and 17KT0032).
文摘Due not only to a dominant role of the US dollar in regional trade and financial transactions but also to de facto US dollar pegged exchange rate policy,Asian countries cannot avoid exchange rate risks between their own currency and the US dollar.In recent years,however,the Chinese government has actively promoted the Renminbi(RMB)internationalisation especially in intermational trade.In December 2015,China introduced a new exchange rate index against a basket of 13 trade-weighted currencies,which can be considered a major turning point from the US dollar standard toward a more flexible currency basket system.However,the estimated implicit basket weights reveal that several Asian economies still tend to stabilise their currencies against the US dollar,while Malaysia and Singapore have stabilised their currencies against RMB in recent years.Since the internationalisation of local currencies and regional monetary arrangements are typically facilitated with each other,further progress of RMB internationalisation is expected to promote a leading role of China in establishing regional exchange rate policy coordination.
文摘The exchange rate reform initiated on August 11,2015 is an important attempt by the PBoC to transform China's exchange rate regime from the "crawl-like arrangement" to a floating regime.However,after a three-day experiment,the PBoC abandoned the original goal of the reform.Since then,the central bank has implemented a new exchange rate-setting mechanism.Under this mechanism,the central parity of the renminbi(RMB) against the US dollar is decided by the arithmetic average of the RMB exchange rate that keeps the index of a currency basket unchanged over the past 24 hours and the previous day's closing price of USD/CNY.Due to the introduction of the index of a currency basket,additional uncertainty has been introduced into the determination of the RMB exchange rate,because of the uncertainty of the dollar index(USDX).As a result,to a certain extent,the one-way bet on the RMB expectations is weakened.However,the current exchange rate formation mechanism cannot reverse the trend of devaluation of the RMB,nor can it eliminate depreciation expectations.Meanwhile,it hinders the effectiveness of central bank's independent monetary policy based on the domestic economic fundamentals.And also,the "two-way float" created by the new price-setting mechanism is artificial and has led to significant losses of foreign exchange reserve.The paper explains how the new price-setting mechanism works,and identifies the important features of the mechanism and its pros and cons.The paper argues that despite some advantages,the new exchange rate regime as a soft peg regime is not sustainable and the PBoC should stop foreign exchange market intervention as soon as possible.We hope that the PBoC can learn the lessons from the failure of the "August 11 reform" and accomplish the unaccomplished reform in an urgent manner.
基金The author would like to thank the research support from the National Nature Science Foundation of China (70673011, 71173042) and the National Social Science Fund Major Projects (11&ZD018), Later Grants from the Chinese Ministry of Education (12JHQ030) and Research and Innovation Projects of the Shanghai Municipal Committee of Education (13ZS010). The author is deeply indebted to Professor Thomas C. Chiang for his advice and useful help in the completion of this paper, and also acknowledges the comments and suggestions of two anonymous referees. Any remaining errors are my own responsibility.
文摘This paper constructs an RMB/USD exchange rate index and a basket currency exchange rate index. The correlation maximization of the RMB/USD and the basket currency index may determine the weight and quantity of the basket currency. The currency basket indicates that the weight of the USD is highest, whereas that of the GB Pound is the lowest. Our currency basket has a high linear dependence on that of the central bank. We found that the RMB/USD and currency basket indices have a long-term co-integration relationship according to the optimal currency weights. The results of the error-correcting model manifest as the RMB/USD exchange rate deviates from the long-term equilibrium level, wherein 76.3% will be corrected. This paper checks the prediction capacity, which indicates the good fit of the model. By using the Granger causality test the findings show that the People's Bank of China adjusts the RMB/USD exchange rate with reference to the currency basket.
文摘In this paper, the actual exchange rate policy conducted by the Chinese government after the Chinese exchange rate system reform on 21 July 2005 is investigated. Also, the long-run effect is investigated, including the Balassa-Samuelson effect on the Chinese yuan. It was found that the Chinese government generated a statistically significant but small change in exchange rate policy during the sample period until 25 January 2006. It was not identified that the Chinese monetary authority is adopting the currency basket system because the change is too small in the economic sense. It is indicated that the Chinese government should take account of the productivity growth of countries composing the currency basket in order to operate a currency basket regime.
文摘In the present paper, we estimate the de facto RMB exchange rate regime, the currency basket, the floating band and the foreign exchange market pressure before and after the reform of the Chinese exchange rate regime in 2005. We find the following stylized facts: the value of the RAIB became stable after the reform; the weight of the US dollar remained high in the basket, while other currencies remained statistically significant; and the floating band gradually increased to lO percent during 2005-2008, and then greatly narrowed from the late summer of 2008 under the assumption of a yearly resetting interval. We find that the foreign exchange market pressure increased from 2005 to 2008. A possible reason is that the weight of the US dollar in the basket was slightly lower than the share of the US dollar in total transactions on the Chinese foreign exchange market. Therefore, it is reasonable for China to adopt a dollar peg exchange rate regime.
文摘The Chinese authorities have often emphasized the importance of maintaining the renminbi's stable exchange rate without stating explicitly how this stability should be measured. This paper argues that the relevant concept for this stability should be in terms of the rnminbi's effective exchange rate, rather than its rate against any particular currency, such as the U. S. dollar. Under the current circumstances where key currencies' exchange rates fluctuate freely, if the authorities wish to maintain the stability of the renmnibi's effective exchange rate, they would want to let the renminbi's exchange rate fluctuate much more against the U. S. dollar than in the past because such fluctuations would greatly reduce the magnitude of the renminbi's fluctuations against other key currencies and thus its effective exchange rate. This point has been demonstrated by illustrative figures and by comparing the renminbi's hypothetical, greater exchange rate fluctuations with its actual fluctuations.