The Dynamic Relationship Of Renminbi And Other 11 Currencies – The Application Of Cointegration Approach

• Main Authors: Wu, Yichien, 吳依蒨
• Other Authors: Chen, Peifen
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/53342060509532811175

碩士 === 國立暨南國際大學 === 國際企業學系 === 100 === In Jul. 21, 2005, central bank of China disclosed the exchange rate of reminibi from fixed exchange rate, pegging to the dollar to a basket 11 currencies with managed float. However, many literature show that reminibi didn’t follow the basket currencies. As a result, the objective of this thesis is specify and test the forecasting model. This thesis assume three models: crawling peg against the dollar, determined with 4 currencies and 11 currencies, and forecast“de facto”exchange rate regime of Chian post July, 2005 . This thesis use the monthly data of reminibi and 10 currencies coving the period November, 1995, to September, 2011, dollar is the numeraire. In empirical research , the series of reminibi and 10 currencies exchange rate is nonstationary by using ADF unit root test to test. By using Johansen cointegration method and OLS to get the VECM of three models and find that reminibi and euro, yen, won have cointegration relationship. Next, the thesis uses one-step ahead and four-steps ahead out-of sample forecast to find that the reminibi is determined by euro, yen, won. post July, 2005 with better forecasting accuracy. However, the result finds that the variation of reminibi is influenced mainly by the variation of dollar by using variance decomposition. However, as I adopt the data from Aug. 2005 to Sep. 2011 to forecast the acurrcy of the models, the result finds reminibi is pegging to the dollar.The result is differnet as before, because the exchange rate between reminibi and dollar in the period of the Global Finanicial cris is stable.