De facto currency baskets of China and East Asian economies : The rising weights

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dc.contributor Bank of Finland
dc.contributor.author Fang, Ying
dc.contributor.author Huang, Shicheng
dc.contributor.author Niu, Linlin
dc.date.accessioned 2014-09-22T08:00:04Z
dc.date.available 2014-09-22T08:00:04Z
dc.date.issued 2012
dc.identifier.isbn 978-952-462-733-7
dc.identifier.issn 1456-5889
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/8044
dc.description.abstract We employ Bayesian method to estimate a time-varying coefficient version of the de facto currency basket model of Frankel and Wei (2007) for the RMB of China, using daily data from February 2005 to July 2011. We estimate jointly the implicit time-varying weights of all 11 currencies in the reference basket announced by the Chinese government. We find the dollar weight has been reduced and sometimes significantly smaller than one, but there is no evidence of systematic operation of a currency basket with discernable pattern of significant weights on other currencies. During specific periods, the reduced dollar weight has not been switched to other major international currencies, but to some East Asian currencies, which is hard to explain by trade importance to or trade competition with China. We examine currency baskets of these East Asian Economies, including major international currencies and the RMB in their baskets. We find an evident tendency of Malaysia and Singapore to increase the weights of RMB in their own currency baskets, and a steadily and significantly positive weight of RMB in the basket of Thailand. These evidences suggest that, the positive weights of some East Asian currencies in RMB currency basket during specific periods largely reflect the fact that these East Asia economies have been systematically placing greater weights on RMB under the new regime of RMB exchange rate. Keywords: RMB currency basket, time-varying regressions, East Asia, China, US JEL Classification: F31, F41, C11
dc.format.extent 24 s.
dc.language.iso eng
dc.relation.ispartofseries BOFIT Discussion Papers
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject Kiina
dc.subject Aasia
dc.subject USA
dc.subject valuuttakorit
dc.subject valuutat
dc.subject valuuttapolitiikka
dc.subject Thaimaa
dc.subject Malesia
dc.subject Singapore
dc.subject valuuttakurssit
dc.subject valuuttajärjestelmät
dc.subject SP
dc.subject RP
dc.subject RP ST
dc.subject Bofit-kokoelma
dc.subject Itä-Aasia
dc.subject RMB
dc.title De facto currency baskets of China and East Asian economies : The rising weights
dc.type Sarjajulkaisu
dc.identifier.urn URN:NBN:fi:bof-201408072040
dc.subject.jel F31
dc.subject.jel F41
dc.subject.jel C11
dc.series.name BOFIT Discussion Papers
dc.series.year 2012
dc.series.number 2/2012
dc.series.sortingnumber 2
dc.date.publication 9.2.2012
dc.contributor.orgunit Institute for Economies in Transition (BOFIT)

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