The Renminbi central parity : An empirical investigation

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Titel: The Renminbi central parity : An empirical investigation
ISBN: 978-952-323-163-4
Author: Cheung, Yin-Wong ; Hui, Cho-Hoi ; Tsang, Andrew
Institution: Bank of Finland
Avdelning / Enhet: Institute for Economies in Transition (BOFIT)
Serie: BOFIT Discussion Papers
ISSN: 1456-5889
Serieår: 2017
Serienumber: 7/2017
Utgivningsår: 2017
Utgivningsdatum: 11.5.2017
Sidor: 33
Subject (yso): valuuttakurssit; valuuttapolitiikka
Nyckelord: Bofit-kokoelma; Kiina; RMB
JEL: F31; F33; G15; G17; G18
Andra nyckelord: China; RMB; exchange rate policy; central parity rate; onshore and offshore rates
Abstrakt: 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.

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