In this article, we explore the determinants of foreign exchange market intervention by the People's Bank of China as well as RMB real exchange rate. Mmonthly data from July 2005 to October 2010 are used.
In the foreign exchange market intervention, operating variables and economic variables are studied separately. For the economic variables, we find that economic leading index of China is an important factor to determine whether to intervene or not. In addition, we find that producer price index is better than consumer price index to explain intervention in foreign exchange market. Economic leading index of U.S. is also important to determine the intervention.
For the operating variables, we find that intervention by the People's Bank of China has the characteristics of leaning against the wind and deferred intervention. Foreign capital inflows are also the important determinant of the intervention.
As for the determinants of RMB real exchange rate, we find that the China-U.S. interest rate differentials and China's business cycles relative to the U.S. are the main factors to determine the RMB real exchange rate. Also, the RMB tends to move with the Euro's in the same direction.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0629111-150013 |
| Date | 29 June 2011 |
| Creators | Kang, Chiung-wen |
| Contributors | Jen-Jsung Huang, Chang-Chiang Chin, Y. Chris Liao |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0629111-150013 |
| Rights | campus_withheld, Copyright information available at source archive |
Page generated in 0.0017 seconds