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Copula-Based Risk Management Models for Multivariable rmb exchange rate in the Process of rmb Internationalization

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Journal of Systems Science & Complexity 2017年第3期30卷 660-679页

作者： DU Jiangze LAI Kin Keung School of Finance Jiangxi University of Finance and Economics Department of Industrial and Manufacturing Systems Engineering Hong Kong University International Business School Shaanxi Normal University

This paper investigates the dependence of the exchange rate of onshore Renminbi(rmb)and offshore rmb against US dollar(i.e., CNY and CNH) based on copula models. Eleven different copulas were selected to construct multivariate distribution and estimate the value-at-risk for rmb exchange rate. Empirical results show that time-invariant Student-t copula is the best model to fit the sample data. The positive upper and lower dependence indicates that CNY and CNH series tend to move in the same direction. Moreover, the dependence between the two exchange rates is asymmetric,which means that traditional models, such as Pearson's correlation, are inappropriate to measure the correlations between these markets. The best fitted model is chosen to estimate the financial risk,which can help business practitioners and policymakers track risk evolution and make good decisions.

关键词： Copula modeling rmb exchange rate rmb internationalization value-at-risk.

rmb exchange rate Variation of China World Trade

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RMB Exchange Rate Variation of China World Trade

作者： Adama Seek 华中师范大学

学位级别：硕士

This study traces the impact between the variability of the rmb exchange rate and the global Chinese trade. The main objective of this research is to present the dominating links and interactions of the relationship and to examine-with advanced econometrics tools-the significance between the volatility of the exchange rate of rmb and Chinese imports and exports. It will be made a statement about the alternative exchange policy in China since 1994. After the founding of New China, several economic policies have been undertaken on behalf of the exchange rate of the Chinese currency. In this connection we will analyze China's exchange rate:The changes since 1994 until 2005 (from a fixed exchange rate system of the rmb) and progressively, from the 21st July 2005, moved to a floating exchange rate system. Finally it will be evaluated, if the rmb fluctuations are more in line with the current economic policy under the premises of a floating exchange *** is a doctrinal controversy in the literature about the volatility of the exchange rate of rmb impact on international trade. Hence the literature does not allow us to conclude in mutual agreement. Therefore we will make clear definitions in this research and, based on empirical investigation, we will determine the impact of the rate of China's currency. Eventually we aim to prove the existence of a significant effect of the rmb variability in the global Chinese *** using Augmented Dicker Fuller principles, this study examines the volatility of the exchange rate of rmb on Chinese international trade during the year 1996-2015. As verification and in order to figure out if our model have not a Unit Root, we use Johansen co-integration and Error Correction Model. Its serve us to validate our variables. In our model, the dependent variable is rmb exchange rate, while the independent variables are imports and exports (of different time periods).The results will allow us to make a conclusion about the correlation be

关键词： rmb exchange rate Volatility of the exchange rate China Import China Export

The Political Cause of the Movement of rmb exchange rate： A Research Based on the Spillover Effects of US Political Cycle

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Frontiers of Economics in China-Selected Publications from Chinese Universities 2016年第4期11卷 694-731页

作者： Mengnan Zhu Qian Zhao Yuguang Wang School of Economics Xiamen University Xiamen 361005 China

Movement of the renminbi （rmb） exchange rate is not only affected by economic factors, but also by political factors home and aboard. This paper analyzes the transmission mechanism of political cycles on the rmb exchange rate first, and then sets up a ＂political cycle spillover effect model＂ followed by an empirical analysis. We find that：（1） the US political cycle has a direct effect on the rmb exchange rate in the short run, which is mainly transmitted by capital flows and China＇s exchange rate policy control; （2） the rmb exchange rate changes periodically in accordance with the US presidential election and midterm election cycle, with the appreciation ratio significantly lower in the first year of the election cycle, while significantly higher in the year after the midterm election; （3） The effect of the political cycle will not be affected by which party holds power, though it will be affected if the president and parliament are ruled by the same party. This paper not only extends the research of the influencing factors of the rmb exchange rate to the political field, but also sets up a use theoretical model to analyze the impact of political issues on the rmb exchange rate, providing a new perspective to fully understand the external environment of rmb exchange rate reform.

关键词： political cycle spilIover effect rmb exchange rate

Do the rmb exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?

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Financial Innovation 2021年第1期7卷 1030-1050页

作者： Shaobo Long Mengxue Zhang Keaobo Li Shuyu Wu Center for Public Economy and Public Policy Chongqing UniversityChongqingChina Department of Public Economics School of Public AffairsChongqing University174 Shazheng StreetShapingba DistrictChongqing 400044China A Center for Chinese Economic Practice and Thinking Tsinghua UniversityRoom 128Shunde BuildingHaidian DistrictBeijing 100084China School of Economics and Resource Management Beijing Normal University19 xinjiekouwai streetHaidian DistrictBeijing 10084China

With the rapid expansion of the rmb exchange rate’s floating range,the effects of the rmb exchange rate and global commodity price changes on China’s stock prices are likely to *** study uses both auto regressive distributed lag(ARDL)and nonlinear ARDL(NARDL)approaches to explore the symmetric and asymmetric effects of the rmb exchange rate and global commodity prices on China’s stock *** findings show that without considering the critical variable of global commodity prices,there is no cointegration relationship between the rmb exchange rate and China’s stock prices,and the coefficient of the rmb exchange rate is not statistically ***,when we introduce global commodity prices into the NARDL model,the result shows that the rmb exchange rate has a negative effect on China’s stock prices,that there indeed exists a long-run cointegration relationship among the rmb exchange rate,global commodity prices,and stock prices in the NARDL model,and that global commodity price changes have an asymmetric effect on China’s stock prices in the long ***,China’s stock prices are more sensitive to increases than decreases in global commodity ***,increases in global commodity prices cause China’s stock prices to decline *** contrast,the same magnitude of decline in global commodity prices induces a smaller increase in China’s stock prices.

关键词： rmb exchange rate Global commodity prices China’s stock prices Asymmetric effects

Influence of rmb exchange rate fluctuation on urban-rural income from the perspective of transmission asymmetry

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Ecological Economy 2017年第2期10卷 181-189页

作者： CHANG Yuan School of Public Finance & Taxation Guangdong University of Finance & Economics

Based on time series data of rmb exchange rate and urban-rural income, this paper makes an empirical study for the influence of rmb exchange rate fluctuation on urban-rural income by utilizing rolling regression model through direct and indirect transmission mechanisms. According to the results, the transmission effect of rmb exchange rate fluctuation on urban-rural income has features of incompleteness and asymmetry. Moreover, rmb appreciation will help to reduce the urban-rural income gap. Therefore, this paper suggests that the Chinese economy should accelerate the course of transforming mode, adjusting structure and promoting development under the new normal. Meanwhile, reform of rmb exchange rate mechanism should be promoted, living standard of residents must be improved, and the urban-rural income gap should be reduced.

关键词： rmb exchange rate urban-rural income transmission effect asymmetry

The Impact of the Fluctuations of rmb exchange rate on Shaanxi Export Trade under the Background of “the Belt and Road Initiative”

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The Impact of the Fluctuations of RMB Exchange Rate on Shaan...

Research on the Impact of rmb exchange rate Fluctuation on Domestic Bond Market

2019年第四届经济与企业管理国际学术会议

作者： Zhenyan Xiao Yujian Yang Liangfu Li Wen Shi International Business School Jinan University School of Computer Science Shaanxi Normal University

In contemporary export trade,the fluctuations of rmb exchange rate has a great impact on the total volume of the export *** formal implementation of the "the Belt and Road" initiative put forward by President Xi brought new challenges to Shaanxi export *** the new economic environment,it is necessary to study the new relationship between the exchange rate fluctuation and the export trade of *** paper presents a detailed study on how the total volume of export trade of Shaanxi is affected by the exchange rate through a new VAR *** GDP,CPI,the policy variable of "the Belt and Road Initiative" is added to the new model to explore the different effects of variables on the total volume of the export trade of ***,the introduction of the new policy variable optimizes the existing trade model of the exchange rate at a certain *** analyzing the empirical results,a new impact relationship of the exchange rate and the export trade of Shaanxi has been obtained,and the corresponding suggestions for optimizing the export trade structure of Shaanxi are proposed.

关键词： rmb exchange rate export trade volume VAR model Belt and Road Initiative

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Research on the Impact of RMB Exchange Rate Fluctuation on D...

A Glimpse into a Potential Influencing Factor of China’s exchange rate: Social Financing Scale

作者： Jian Kang Nanjing University of Science and Technology

The "811 Foreign exchange Reform" further improved the rmb exchange rate mid-price quotation mechanism, and the linkage between the foreign exchange market and the domestic bond market was significantly enhanced. Based on the data of the rmb exchange rate and the bond market after the "811 Foreign exchange Reform", this article explored the impact of rmb exchange rate fluctuations on the domestic bond market. This article first theoretically deduced the mechanism and path of the impact of rmb exchange rate fluctuations on the domestic bond market, mainly from the macro and micro perspectives. The VAR model was then used as a tool for empirical analysis of the article. The results show that the devaluation of the rmb will increase the bond market in the short term, and the magnitude is not obvious, but in the long run, the negative effect will continue.

关键词： rmb exchange rate Domestic bond market VAR model

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Journal of Finance Research 2022年第1期6卷 21-28页

作者： Weihao Li Zekun Hong School of Finance Zhongnan University of Economics and LawWuhanHubei430073China

The indicator of social financing scale(SFS)has become a new intermediate target for China’s socioeconomic regulation since 2011,which has a better tracking performance on important economic indicators such as CPI and is also the new intermediate target of monetary policy used by China’s central bank to replace M2 at ***,is there an impact of the social financing scale on another important economic indicator,the rmb exchange rate?This paper conducted an OLS regression analysis of the time series data of social financing scale and the nominal effective exchange rate(NEER)of rmb for a total of 61 months from October 2016 to October 2021 and find that SFS has a significant positive impact on the exchange rate of *** result means that the expansion of SFS will lead to the appreciation of *** addition,the paper fills the research gap on the combination of SFS and rmb exchange rate,and suggests that mechanisms such as monetary policy or domestic interest rates may be responsible for this correlation at the theoretical level.

关键词： rmb exchange rate Social financing scale Intermediate target

Retrospect of the Chinese exchange rate Regime after Reform:Stylized Facts during the Period from 2005 to 2010

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China & World Economy 2010年第6期18卷 19-35页

作者： Jie Sun Senior Fellow Institute of World Economies and Politics Chinese Academy of Social Sciences Beijing China.

In the present paper, we estimate the de facto rmb exchange rate regime, the currency basket, the floating band and the foreign exchange market pressure before and after the reform of the Chinese exchange rate regime in 2005. We find the following stylized facts： the value of the RAIB became stable after the reform; the weight of the US dollar remained high in the basket, while other currencies remained statistically significant; and the floating band gradually increased to lO percent during 2005-2008, and then greatly narrowed from the late summer of 2008 under the assumption of a yearly resetting interval. We find that the foreign exchange market pressure increased from 2005 to 2008. A possible reason is that the weight of the US dollar in the basket was slightly lower than the share of the US dollar in total transactions on the Chinese foreign exchange market. Therefore, it is reasonable for China to adopt a dollar peg exchange rate regime.

关键词： currency basket exchange market pressure floating band rmb exchange rate