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Title:The undisclosed renminbi basket: are the markets telling us something about where the renminbi - US dollar exchange rate is going? PDF Logo
Authors:Funke, Michael
Gronwald, Marc
Issue Date:2008
Series/Report no.:CESifo working paper 2272
Abstract:On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD) exchange rate using the family of time-varying autoregressive (TV-AR) models. Specifically, the nonlinear models allow for a smooth transition from one optimal level to another. Our estimation results imply that the RMB/USD exchange rate will likely be about 7.10 RMB/USD in summer/autumn 2009.
Subjects:China
renminbi
de facto exchange rate regime
TV-AR model
TV-AR-GARCH model
JEL:C22
F31
F37
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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