Arbeitspapier

Time-varying exchange rate basket in China from 2005 to 2009

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.

Sprache
Englisch

Erschienen in
Series: CESifo Working Paper ; No. 3147

Klassifikation
Wirtschaft
Bankruptcy; Liquidation
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
Thema
exchange rate regime
Kalman filter
financial crisis
Wechselkurssystem
Währungskorb
Zustandsraummodell
Finanzmarktkrise
US-Dollar
Schätzung
China

Ereignis
Geistige Schöpfung
(wer)
Fidrmuc, Jarko
Ereignis
Veröffentlichung
(wer)
Center for Economic Studies and ifo Institute (CESifo)
(wo)
Munich
(wann)
2010

Handle
Letzte Aktualisierung
20.09.2024, 08:25 MESZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Fidrmuc, Jarko
  • Center for Economic Studies and ifo Institute (CESifo)

Entstanden

  • 2010

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