Title :
Empirical Research on RMB Equilibrium Exchange Rate - Analysis and Forecast Based on Multivariable VAR Model
Author :
Ya-jie, WANG ; Xin, Zhao ; Jian-guang, Han
Author_Institution :
Sch. of Manage., Harbin Inst. of Technol.
Abstract :
Since the implementation of the new mechanism of RMB exchange rate in 2005, its revaluation has been anticipated. The issue of RMB exchange rate still is the focal point of various circles. How much space there is for the revaluation, and how far is it away from the equilibrium level? These questions were explored in this paper through application of the new approach of studying equilibrium exchange rate - the behavior equilibrium exchange rate (BEER) analysis method. Also the RMB´s exchange rate level was discussed and the trend of RMB equilibrium exchange rate was forecasted under the pulse function in the VAR model system, and accordingly the corresponding policy proposals were put forward
Keywords :
autoregressive processes; economic forecasting; economic indicators; statistical analysis; stock markets; RMB equilibrium exchange rate; behavior equilibrium exchange rate; economic forecasting; generalized impulse response function; multivariable VAR model; vector autoregression; Econometrics; Economic forecasting; Exchange rates; Predictive models; Proposals; Reactive power; Space technology; Technology forecasting; Technology management; Testing; Behavioral equilibrium exchange rate; Co-integration; Generalized impulse response function;
Conference_Titel :
Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on
Conference_Location :
Lille
Print_ISBN :
7-5603-2355-3
DOI :
10.1109/ICMSE.2006.314261
