Time-varying exchange rate basket in China from 2005 to 2009 created by Jarko Fidrmuc

By:

Fidrmuc, Jarko [author]

Material type: Text

TextSeries: Comparative economic studies ; Volume 52, number 4Hampshire: Palgrave Macmillan, 2010Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

08887233

Subject(s):

Exchange rate regime -- Kalman filter -- Financial crisis

LOC classification:

HB90 COM

Online resources:

Click here to access online

Abstract: We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in July 2005 with the introduction of a secret currency basket was followed by a smooth appreciation against the US dollar (USD). Other currencies did not play a major role. We show that the USD again received a higher weight in the Chinese exchange rate policy already before the financial crisis of 2008.

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB90 COM (Browse shelf(Opens below))	Vol. 52, no. 4 (pages 515-530)	SP6232	Not for loan	For in house use

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We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in July 2005 with the introduction of a secret currency basket was followed by a smooth appreciation against the US dollar (USD). Other currencies did not play a major role. We show that the USD again received a higher weight in the Chinese exchange rate policy already before the financial crisis of 2008.

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