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.

fYear

2006

fDate

5-7 Oct. 2006

Firstpage

1468

Lastpage

1474

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on

Conference_Location

Lille

Print_ISBN

7-5603-2355-3

Type

conf

DOI

10.1109/ICMSE.2006.314261

Filename

4105124