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
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.
