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Title:Time-varying exchange rate basket in China from 2005 to 2009 PDF Logo
Authors:Fidrmuc, Jarko
Issue Date:2010
Series/Report no.:CESifo working paper Monetary Policy and International Finance 3147
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. Other currencies did not play a major role. We show that the US dollar again received a higher weight in the Chinese exchange rate policy already before the financial crisis of 2008.
Subjects:exchange rate regime
Kalman filter
financial crisis
JEL:G33
G21
C25
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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