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This paper investigates the impact of real exchange rate volatility and misalignment on exports and imports between China and the United States. Our empirical analysis used the quarterly time series data over the 1994Q:1–2019Q:4 period. We used the ARDL-bound testing approach for the short- and long-run relationship. The empirical results reveal that China's real exchange rate volatility and misalignment significantly impact China's real exports and imports over the sample period. In the short-run, the relationship between real exchange rate misalignments and China's exports is positive, whereas negative with imports from the United States. In the long run, the real exchange rate misalignment positively affects exports and negatively affects imports. The evidence suggests that both higher real exchange rate volatility and misalignment directly affect the relative price of goods and encourage China exports to United States. [ABSTRACT FROM AUTHOR]

Nearly all studies in the literature have assessed the impact of exchange rate changes on trade flows for goods. Service industries, however, have not received much attention. Two studies have assessed the effects of exchange rate changes on U.S. service trade with its partners. We add to this literature with a new study that assesses the symmetric and asymmetric effects of changes in the real effective rate of the yuan on China's trade in 11 service industries with the world. While we find short-run effects on imports and exports for almost all service categories, short-run effects last into long-run asymmetric effects in six Chinese importing service industries and eight Chinese exporting service industries. [ABSTRACT FROM AUTHOR]

Following recent advances in asymmetric impact of exchange rate volatility on trade flows, we assess the symmetric and asymmetric effects of exchange rate volatility on China's bilateral trade with each of its 21 trading partners. We find symmetric effects in only a few bilateral trade models. However, the asymmetric analysis which required using nonlinear models revealed short-run asymmetric effects in almost all export and import demand models and log-run significant asymmetric effects in 50% of the models. In almost all models, while increased volatility was found to hurt Chinese trade, decreased volatility was found to boost them, implying that stable exchange rate is beneficial for China's trade. [ABSTRACT FROM AUTHOR]

• Imported inputs affects the exchange rate pass-through via two channels. • Marginal cost channel serves by changing the marginal cost of export products. • Quality change channel serves by altering exporters' incentive to change quality. • These two channels generate opposite effects on the exchange rate pass-through. • The marginal cost channel dominates the quality change one for Chinese exporters. This paper examines how the use of imported intermediate inputs affects the exchange rate elasticity of export prices. We first construct a theoretical model to illustrate that a change in imported input cost followed by a change in the exchange rate affects export prices through two distinct channels: directly changing the marginal cost of export products(i.e., the marginal cost channel) and indirectly altering exporters' incentive to upgrade (or downgrade) the quality of products (i.e., the quality change channel). These two channels generate opposite effects on the exchange rate elasticity of export prices. Our empirical analyses find strong evidence of the existence of the marginal cost and quality change channels. Overall, the marginal cost effect dominates the quality change effect. The marginal cost channel is weaker for products with larger scope for quality differentiation and firms with a higher ability to upgrade quality, as predicted by the theoretical model. [ABSTRACT FROM AUTHOR]

Using multifractal detrended cross-correlation analysis (MF-DCCA), this research investigates the dynamic relationship between the RMB exchange index and the liquidity of the Shanghai and Shenzhen stock market during the period from 22 June 2010 to 17 February 2017. As suggested by our empirical results, the well-known efficient market hypothesis by no means explains the dynamics between the RMB index and stock market liquidity. Indeed, the RMB index and stock market liquidity are cross-correlated, and the cross-correlations exhibit multifractal features. Further, cross-correlations between the RMB index and the liquidity of the Shanghai and Shenzhen stock market demonstrate strong and positive persistence. In particular, the positive persistence of cross-correlations is strengthened in the presence of a tightening monetary policy. [ABSTRACT FROM AUTHOR]

Abstract This paper investigates the inter-relationships between CNH, CNY and NDF exchange rate markets. Through Johansen co-integration test, we found there do exist long term equilibrium relationships between these markets, Then we try to use VAR model and Granger causality test to explore the detail relationships between RMB markets. [ABSTRACT FROM AUTHOR]

This paper employs multifractal detrended analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) to study cross-correlation behaviors between China’s RMB exchange rate market and four international commodity markets, using a comprehensive set of data covering the period from 22 July 2005 to 15 March 2016. Our empirical results from MF-DFA indicate that the RMB exchange rate is the most inefficient among the 4 selected markets. The results from quantitative analysis have testified the existence of cross-correlations and the result from MF-DCCA have further confirmed a strong multifractal behavior between RMB exchange rate and international commodity markets. We also demonstrate that the recent financial crisis has significant impact on the cross-correlated behavior. Through the rolling window analysis, we find that the RMB exchange rates and international commodity prices are anti-persistent cross-correlated. The main sources of multifractality in the cross-correlations are long-range correlations between RMB exchange rate and the aggregate commodity, energy and metals index. [ABSTRACT FROM AUTHOR]

This paper examines the international spillover effects of China's monetary policy shock on macro and financial variables in 26 countries along the Belt and Road (B&R) from 2000 to 2019. We find that a surprise Chinese monetary tightening brings about a widening in the short-term interest rate spread, a drop in the equity price, nominal depreciation against the RMB and real depreciation, and an improvement in the trade balance, on average, across the 26 B&R countries. Moreover, substantial heterogeneous effects emerge in the responses of the foreign real exchange rate and the trade balance in different groups in terms of the 26 countries' trade weights with China, capital openness, and national income levels. Finally, all the empirical evidence reveals that the expenditure switching effect plays an important role in facilitating the international transmission of China's monetary policy shock. • Estimates China's monetary policy shock series via a large Bayesian VAR model. • Examines the cross-border transmission of the shock via local projections. • Finds significant spillover effects of China' monetary policy shock abroad. • Finds heterogeneities in the spillover effects for different country groups. • Finds the expenditure switching effect is key in the monetary policy transmission. [ABSTRACT FROM AUTHOR]

In this paper, we investigate the cross-correlations between the Hang Seng China Enterprises Index and RMB exchange markets on the basis of a cross-correlation statistic test and multifractal detrended cross-correlation analysis (MF-DCCA). MF-DCCA has, at best, serious limitations for most of the signals describing complex natural processes and often indicates multifractal cross-correlations when there are none. In order to prevent these false multifractal cross-correlations, we apply MFCCA to verify the cross-correlations. Qualitatively, we find that the return series of the Hang Seng China Enterprises Index and RMB exchange markets were, overall, significantly cross-correlated based on the statistical analysis. Quantitatively, we find that the cross-correlations between the stock index and RMB exchange markets were strongly multifractal, and the multifractal degree of the onshore RMB exchange markets was somewhat larger than the offshore RMB exchange markets. Moreover, we use the absolute return series to investigate and confirm the fact of multifractality. The results from the rolling windows show that the short-term cross-correlations between volatility series remain high. [ABSTRACT FROM AUTHOR]

Since the Asian financial crisis of 1997–1998, China has significantly increased its foreign exchange reserves. We argue that the resulting abnormal levels of currency reserves accumulated by Chinese authorities are not intended to maximize the citizenry’s economic welfare, as in a mercantilist or a precautionary account, but rather to forestall the elite’s own political demise. This goal has been pursued mainly by generating large current account surpluses through manipulation of the renminbi exchange rate. The Chinese elite has sought to promote the acceptance of this policy by influencing the costs of collective action taken by winners and losers. [ABSTRACT FROM AUTHOR]

In the paper, we research on the characteristics of RMB exchange rate time series fluctuation with methods of symbolization and coarse gaining. First, based on fluctuation features of RMB exchange rate, we define the first type of fluctuation mode as one specific foreign currency against RMB in four days’ fluctuating situations, and the second type as four different foreign currencies against RMB in one day’s fluctuating situation. With the transforming method, we construct the unique-currency and multi-currency complex networks. Further, through analyzing the topological features including out-degree, betweenness centrality and clustering coefficient of fluctuation-mode complex networks, we find that the out-degree distribution of both types of fluctuation mode basically follows power-law distributions with exponents between 1 and 2. The further analysis reveals that the out-degree and the clustering coefficient generally obey the approximated negative correlation. With this result, we confirm previous observations showing that the RMB exchange rate exhibits a characteristic of long-range memory. Finally, we analyze the most probable transmission route of fluctuation modes, and provide probability prediction matrix. The transmission route for RMB exchange rate fluctuation modes exhibits the characteristics of partially closed loop, repeat and reversibility, which lays a solid foundation for predicting RMB exchange rate fluctuation patterns with large volume of data. [ABSTRACT FROM AUTHOR]

This paper employs time series method and Dynamic Bayesian Network method to measure the pass through of RMB exchange rate to prices of different industries. The result shows that the direct transfer effect of RMB exchange rate on RMPI, CGPI and CPI is remarkable. At the same time, the RMB exchange rate can also have indirect influence on PPI, CGPI and CPI of different industries. This study indicates that wood, chemistry, textile and other labor-intensive industry prices are sensitive to the fluctuation of RMB exchange rate, while the exchange rate pass-through effects of energy, black metal, non-ferrous metals and other mineral industries prices are not significant. [ABSTRACT FROM AUTHOR]

This paper examines the effectiveness of the RMB regime reforms on market efficiency improving for the mainland onshore market and Hong Kong offshore market. Based on multifractal detrended fluctuation analysis (MF-DFA), we study the multifractal properties as well as multifractality degree of RMB/USD and RMB/HKD exchange markets. Our empirical results show that, the first RMB regime reform undertaken on July 21, 2005 has a greater impact on RMB/USD exchange market in the short term, while the second RMB exchange reform undertaken on June 19, 2010 exerts the long-term influences on the efficiency of both RMB/USD and RMB/HKD markets. Further, RMB/HKD market is found to work more efficiently, although both mainland onshore market and Hong Kong offshore market have achieved a higher level of efficiency post reforms. [ABSTRACT FROM AUTHOR]

This paper studies the impact of a broadening of the SDR basket to the Chinese currency on the composition and volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much more significant impact can be expected in the next decades. If the objective is to reinforce the attractiveness of the SDR as a unit of account and a store of value through more stability, then a broadening of the SDR to the RMB could be appropriate, provided some flexibility is introduced in the Chinese exchange-rate regime. This issue of flexibility is de facto more important than that of "freely usable" to make the SDR more stable, at least in the short and medium run. [ABSTRACT FROM AUTHOR]

Abstract: This paper analyzes the ex-ante short-term impacts of the Chinese RMB appreciation on the Chinese and world economy, using a novel approach of modeling nominal exchange rate adjustment in the GTAP, a global CGE model. Scenario results show that Chinese economy will be affected negatively, with lower real GDP, lower employment rates, and a decline in the trade surplus. Chinese currency appreciation has positive impact on the GDP of the major countries and regions, although by a small margin. With higher Chinese exchange rate, trade balance for other trading partner countries improves with the exception of the U.S. [Copyright &y& Elsevier]

Abstract: It is a very interesting topic to forecast the movement direction of financial time series by machine learning methods. Among these machine learning methods, support vector machine (SVM) is the most effective and intelligent one. A new learning model is presented in this paper, called the polynomial smooth support vector machine (PSSVM). After being solved by Broyden–Fletcher–Goldfarb–Shanno (BFGS) method, optimal forecasting parameters are obtained. The exchange rate movement direction of RMB (Chinese renminbi) vs USD (United States Dollars) is investigated. Six indexes of Dow Jones China Index Series are used as the input. 4 sections with 180 time experiments have been completed. Many results show that the proposed learning model is effective and powerful. [Copyright &y& Elsevier]

Abstract: The management of exchange rate risk has been a difficult task due to the high volatility of financial series. In this project, we treat exchange rate risks under stochastic model. In order to model them, VaR and CVaR are employed, which are a widely used tool in finance and engineering for measuring risk. The purpose of this research is to propose a new methodology for modeling exchange rate and estimating the tail-risk. In statistic estimation, we use MCMC method .Historical loss data of RMB/US and RMB/Euro is used, in order to explore the methodology''s efficiency and its potential benefits. [Copyright &y& Elsevier]

Abstract: This article offers an effective solution of forecasting the RMB exchange rate volatility during the financial crisis period. Based on the test of nonlinearity structure in the exchange rate system via the method of surrogate data, the optimal lag periods for each specific exchange rate series were computed by autocorrelation criterion (AC) approach, and then, the structure of multilayer perceptrons (MLP) and recurrent neural networks (RNN) were applied to build the homogeneous artificial neural network (ANN) model. The comparison of the forecast results of ANNs with different parameters shows that, according to the specific exchange rate series, the forecast performance of ANN models with different freedom of degrees has obvious differences in different forecast periods. The RNN model, which contains layer feedback process, has showed great ability to explain and forecast the RMB exchange rates volatility behavior. The optimal forecasting model for each RMB exchange rate volatility series has been found and explained. [ABSTRACT FROM AUTHOR]

Abstract: This study uses a computational general equilibrium model to examine the effects of the Chinese currency on the consumption, investment, trade, output, and welfare of different countries or regions. The results indicate a general decline in welfare across the globe. China is the biggest loser, with a reduction in output. Its domestic interest rate is likely to decline, leading to a potential liquidity trap. The policy implication of this research is that China should minimize changes in its currency value in the short run. [Copyright &y& Elsevier]