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This paper modified the Diebold & Yilmaz spillover index model by weighting method, and used this model to analyze the information spillover relationship between RMB and seven major developed contries, currency from July 22, 2005 to the end of 2017. The results showed that: The current international influence of the RMB is not high, far lower than the influence levels of other developed countries' currencies, but it shows a rising trend; especially after the "811" exchange reform in 2015, the international influence of the RMB has been greatly improved; from the rolling window analysis and structure change-point test, the improvement of the marketization level of the RMB exchange rate formation mechanism and international status are two main factors that have led to major changes in the international influence of the RMB. Overall, the weighted modified Diebold & Yilmaz spillover index model can more sensitively reflect changes in the international influence of the RMB. To improve the international influence of the RMB, one key is to continuously increase the marketization level of the exchange rate market. [ABSTRACT FROM AUTHOR]

This paper utilizes the heterogeneous common factor models to investigate the asymmetric impacts of RMB exchange rate on the exports based on the export data classified by HS 2 digits from January 2001 to December 2008. The results show that the impacts of RMB exchange rate on Chinese exports vary with the exports of processing commodities. The appreciation of RMB will have a negative effect on the exports with small proportion of processing commodities. However, this negative impacts will decrease when the proportion of export on processing commodities increases. This paper also explains why the RMB5s appreciation has a positive impact on Chinese export and a large number of firms find it hard to operate. [ABSTRACT FROM AUTHOR]

By introducing a bandwidth parameter, this paper proposes a moving kernel-weighted variance ratio statistic to monitor persistence change in time series with deterministic trend in terms that the existing kernel-weighted variance ratio statistic is not consistent when time series switch from nonstationary to stationary. Under the nonstationary null hypothesis we derive the limiting distribution of monitoring statistic, and tabulate some critical values. We also prove its consistency under the alternative hypothesis. Simulations indicate that the new procedure has higher empirical power and shorter average run length than the existing procedures in the literature. Finally, the validity of the new procedure is demonstrated by analyzing the foreign exchange rate dada of Chinese Yuan and U.S. dollars. [ABSTRACT FROM AUTHOR]

By taking into account balance of payments and demand for foreign exchange reserves, this article constructs a theoretical model to analyze the effects of RMB exchange rate volatility on the fluctuation of foreign exchange reserves. And then this article also investigates the effects of the nominal effective exchange rate volatility and real effective exchange rate volatility on the foreign exchange reserve. The results of theoretical model show that the effects of scale variable, propensity to import, foreign income and exchange rate on foreign exchange reserves depend on the their effects on n, the certain part of instant changes of foreign exchange reserves respectively. The empirical results show that, in the long run, scale variable, propensity to import, nominal effective exchange rate and real effective exchange rate have significantly positive effects on foreign exchange reserves while the effects of reserve volatility, real effective exchange rate volatility and exchange rate regime are significantly negative. The effects of foreign income, real interest rate difference between China and the US and nominal effective exchange rate volatility are not significant. In the short run, nominal effective exchange rate volatility and real effective exchange rate have significantly negative effects on the change of foreign exchange reserves, and the effect of foreign income is significantly positive while the effects of other variables are not significant. [ABSTRACT FROM AUTHOR]