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|a We document stylized facts about China's recent exchange rate policy for its currency, the renminbi (RMB). Our empirical findings suggest that a "two-pillar policy" is in place, aiming to balance RMB index stability and exchange rate flexibility. We then develop a tractable no-arbitrage model of the RMB under the two-pillar policy. Using derivatives data on the RMB and the U.S. dollar index, we estimate the model to assess financial markets' views about the fundamental exchange rate and sustainability of the policy. Our model is able to predict the modification of the two-pillar policy in May 2017, when a discretion-based "countercyclical factor" was introduced for the first time. We also examine the model's ability to forecast RMB movements.
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We document stylized facts about China's recent exchange rate policy for its currency, the renminbi (RMB). Our empirical findings suggest that a "two-pillar policy" is in place, aiming to balance RMB index stability and exchange rate flexibility. We then develop a tractable no-arbitrage model of the RMB under the two-pillar policy. Using derivatives data on the RMB and the U.S. dollar index, we estimate the model to assess financial markets' views about the fundamental exchange rate and sustainability of the policy. Our model is able to predict the modification of the two-pillar policy in May 2017, when a discretion-based "countercyclical factor" was introduced for the first time. We also examine the model's ability to forecast RMB movements. |
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Jermann, Urban J. VerfasserIn (DE-588)129560782 (DE-627)472718525 (DE-576)297723073 aut, The Two-pillar policy for the RMB Urban J. Jermann, Bin Wei, and Vivian Z. Yue, Atlanta, GA Federal Reserve Bank of Atlanta [2019], 1 Online-Ressource (circa 49 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / Federal Reserve Bank of Atlanta 2019, 8 (April 2019), FRB Atlanta Working Paper No. 2019-8, We document stylized facts about China's recent exchange rate policy for its currency, the renminbi (RMB). Our empirical findings suggest that a "two-pillar policy" is in place, aiming to balance RMB index stability and exchange rate flexibility. We then develop a tractable no-arbitrage model of the RMB under the two-pillar policy. Using derivatives data on the RMB and the U.S. dollar index, we estimate the model to assess financial markets' views about the fundamental exchange rate and sustainability of the policy. Our model is able to predict the modification of the two-pillar policy in May 2017, when a discretion-based "countercyclical factor" was introduced for the first time. We also examine the model's ability to forecast RMB movements., Wei, Bin VerfasserIn (DE-588)1043947884 (DE-627)771090145 (DE-576)396093450 aut, Yue, Vivian Z. VerfasserIn (DE-588)128976047 (DE-627)386695482 (DE-576)297426133 aut, Federal Reserve Bank of Atlanta Working papers 2019, 8 (April 2019) 2019,8 (DE-627)474528820 (DE-576)281265380 (DE-600)2171117-3, http://hdl.handle.net/10419/200546 Resolving-System kostenfrei Volltext, https://www.frbatlanta.org/-/media/documents/research/publications/wp/2019/08-the-two-pillar-policy-for-the-rmb-2019-04-10.pdf Verlag kostenfrei Volltext, https://ssrn.com/abstract=3378052 X:ELVSSRN Verlag kostenfrei, https://www.frbatlanta.org/-/media/documents/research/publications/wp/2019/08-the-two-pillar-policy-for-the-rmb-2019-04-10.pdf LFER, LFER 2019-05-07T00:00:00Z |
| spellingShingle |
Jermann, Urban J., Wei, Bin, Yue, Vivian Z., The Two-pillar policy for the RMB, Federal Reserve Bank of Atlanta, Working papers, 2019, 8 (April 2019), We document stylized facts about China's recent exchange rate policy for its currency, the renminbi (RMB). Our empirical findings suggest that a "two-pillar policy" is in place, aiming to balance RMB index stability and exchange rate flexibility. We then develop a tractable no-arbitrage model of the RMB under the two-pillar policy. Using derivatives data on the RMB and the U.S. dollar index, we estimate the model to assess financial markets' views about the fundamental exchange rate and sustainability of the policy. Our model is able to predict the modification of the two-pillar policy in May 2017, when a discretion-based "countercyclical factor" was introduced for the first time. We also examine the model's ability to forecast RMB movements. |
| title |
The Two-pillar policy for the RMB |
| title_auth |
The Two-pillar policy for the RMB |
| title_full |
The Two-pillar policy for the RMB Urban J. Jermann, Bin Wei, and Vivian Z. Yue |
| title_fullStr |
The Two-pillar policy for the RMB Urban J. Jermann, Bin Wei, and Vivian Z. Yue |
| title_full_unstemmed |
The Two-pillar policy for the RMB Urban J. Jermann, Bin Wei, and Vivian Z. Yue |
| title_in_hierarchy |
2019, 8 (April 2019). The Two-pillar policy for the RMB ([2019]) |
| title_short |
The Two-pillar policy for the RMB |
| title_sort |
two pillar policy for the rmb |
| url |
http://hdl.handle.net/10419/200546, https://www.frbatlanta.org/-/media/documents/research/publications/wp/2019/08-the-two-pillar-policy-for-the-rmb-2019-04-10.pdf, https://ssrn.com/abstract=3378052 |
