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Behavior Equilibrium Exchange Rate and Misalignment of Renminbi: A Recent Empirical Study
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In this paper, the authors employ the behavioral equilibrium exchange rate (BEER) model to estimate the equilibrium real exchange rate of Renminbi (RMB) and the exchange rate misalignment in China, which covers the period from 1994q1 to 2006q2.Abstract:
This paper employs the behavioral equilibrium exchange rate (BEER) model to estimate the equilibrium real exchange rate of Renminbi (RMB) and the exchange rate misalignment in China, which covers the period from 1994q1 to 2006q2. Using the most precise and recent data, the main findings of the paper are that (1) since 1994q1, RMB equilibrium exchange rate has exhibited a steady appreciation, but from the 1999q3 to the recent period, it started to depreciate. And (2) that RMB real exchange rate has been under-valuated during the most part of sample period, but this misalignment has a trend to become smaller and small, and in recent after-reform period, a small degree of over-evaluation replaces this under-valuation.read more
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Structural breaks and the equilibrium real effective exchange rate of China: A NATREX approach
Kefei You,Nicholas Sarantis +1 more
TL;DR: In this paper, the authors investigated the equilibrium real effective exchange rate for the Chinese RMB during the post-reform period, 1982-2010, and extended the NATREX model for the first time to China.
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An empirical analysis of China's equilibrium exchange rate: A co-integration approach
TL;DR: In this paper, an appropriately specified long-run equilibrium model is estimated and tested following Johansen and Juselius (1990) procedures, which is then used to construct an estimated time path for long run equilibrium exchange rate values.
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Renminbi's misalignment: A meta-analysis
TL;DR: In this paper, the authors present the results of a meta-regression analysis of empirical estimates of renminbi misalignments and show that empirical methodology induces larger values on the supposed misalignment of Chinese currency than the theoretical model of the real equilibrium exchange rate.
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How is the RMB Exchange Rate Misaligned? A Recent Application of Behavioral Equilibrium Exchange Rate (BEER) to China
TL;DR: In this paper, the authors estimate the degree of RMB misalignment from its equilibrium exchange rate by applying the Behavioral Equilibrium Exchange Rate (BEER) approach, and find that the RMB was slightly overvalued before 2001 and significantly undervalued by up to 20 percent in the end of 2006.
The equilibrium real effective exchange rate of China : a NATREX approach
Kefei You,Nicholas Sarantis +1 more
TL;DR: In this paper, the authors examined the determinants of China's equilibrium real effective exchange rate and investigated the misalignments in the Renminbi and found strong evidence of persistent undervaluation of the RMB during 1994-2005, accelerating in particularly after 2000.
References
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Maximum likelihood estimation and inference on cointegration — with applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
TL;DR: In this paper, the estimation and testing of long-run relations in economic modeling are addressed, starting with a vector autoregressive (VAR) model, the hypothesis of cointegration is formulated as a hypothesis of reduced rank of the long run impact matrix.
Maximun likelihood estimation and inference on cointegration - With applications to the demand for money
Søren Johansen,Katarina Juselius +1 more
Book
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
TL;DR: In this paper, a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model is given, with the main emphasis on the derivation of estimators and test statistics through a consistent use of the Guassian likelihood function.
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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
TL;DR: In this paper, the authors give a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model, which has gained popularity because it can capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series.
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The Purchasing Power Parity Puzzle
TL;DR: A number of recent studies have weighed in with fairly persuasive evidence that real exchange rates (nominal exchange rates adjusted for differences in national price levels) tend toward purchasing power parity in the very long run as discussed by the authors.