Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212870 
Year of Publication: 
2017
Series/Report no.: 
BOFIT Discussion Papers No. 7/2017
Publisher: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Abstract: 
On August 11, 2015, China revamped its procedure for setting the official central parity of the renminbi (RMB) against the US dollar. Our empirical investigation suggests that the intertemporal dynamics of China's central parity shifted after this policy change, though the deviation of the RMB offshore rate from the central parity and the US dollar index remained the two significant determi-nants of central parity after the policy change. In contrast, the VIX index only offered explanatory power up to August 2015. Thereafter, the onshore RMB rate and the difference between the one-month offshore and onshore RMB forward points have significant impacts on the central parity. While the US dollar index effect remains, we find no evidence of a rate-fixing role for the RMB exchange rate against the currency basket announced by China in December 2015.
JEL: 
F31
F33
G15
G17
G18
Persistent Identifier of the first edition: 
ISBN: 
978-952-323-163-4
Document Type: 
Working Paper

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