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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/26317
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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?  |
| 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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