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Autor:innen: 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
CESifo Working Paper No. 3147
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
exchange rate regime
Kalman filter
financial crisis
JEL: 
G33
G21
C25
Dokumentart: 
Working Paper
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