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Macau Periodical Index (澳門期刊論文索引)
- Author
- Tang, Xiaolei; Zhou, Jizhong
- Title
- Real exchange rate misalignment and adjustment of RMB: a threshold cointegration analysis
- Journal Name
- 澳門科技大學學報
- Pub. Info
- Jun. 2015, Vol.9, No.1, pp. 97-106
- Link
- http://lib.must.edu.mo/sites/default/files/assets/images/Duu/must_journal_201501.pdf
- Keyword
- Equilibrium real exchange rate；Behavioural Equilibrium Exchange Rate；Threshold cointegration；Exchange rate misalignment
- Abstract
- Abstract : This paper tests for threshold cointegrating relationship between the equilibrium real exchange rate of the Chinese currency (RMB) and its fundamentals based on the Behavioural Equilibrium Exchange Rate approach using quarterly data over the period 1994Q1-2009Q4. We find that the RMB real equilibrium exchange rate is mainly determined by such fundamentals as productivity, terms of trade, economic openness, and government expenditure. The estimated equilibrium exchange rate is then used as a benchmark to assess the degree of misalignment of actual exchange rate. We also find threshold characteristic in the adjustment process of misalignment errors. Paragraph Headings: 1. Introduction 2. Literature review 3. Empirical methodology 3.1. Threshold cointegration 3.2. Model specification 3.3. Data and variables 4. Empirical Results and Discussion 4.1. Cointegration analysis of BEER 4.2. Misalignment of RMB 4.3. SETAR test 5. Conclusions Tables: 1. Cointegrating equation(s) indicated by Johansen Tests 2. Tests of SETAR(1) against SETAR(2) and SETAR(3), SETAR(2) against SETAR(3) 3. Estimation of the SETAR(2) model Figures: 1. REER, BEER, and HPBEER of RMB: 1994Q1-2009Q4 2. Different measures of RMB misalignment (in%)