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首页> 外文期刊>Frontiers of economics in China >Weights and Empirical Analysis of RMB Exchange Rate Adjustments with Reference to a Basket of Currencies Following the Exchange Rate System Reform of 2010
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Weights and Empirical Analysis of RMB Exchange Rate Adjustments with Reference to a Basket of Currencies Following the Exchange Rate System Reform of 2010

机译：2010年汇率制度改革后人民币汇率调整的权重和实证分析

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This paper constructs an RMB/USD exchange rate index and a basket currency exchange rate index. The correlation maximization of the RMB/USD and the basket currency index may determine the weight and quantity of the basket currency. The currency basket indicates that the weight of the USD is highest, whereas that of the GB Pound is the lowest. Our currency basket has a high linear dependence on that of the central bank. We found that the RMB/USD and currency basket indices have a long-term co-integration relationship according to the optimal currency weights. The results of the error-correcting model manifest as the RMB/USD exchange rate deviates from the long-term equilibrium level, wherein 76.3% will be corrected. This paper checks the prediction capacity, which indicates the good fit of the model. By using the Granger causality test the findings show that the People's Bank of China adjusts the RMB/USD exchange rate with reference to the currency basket.
机译：本文构建了人民币兑美元汇率指数和一篮子货币汇率指数。人民币/美元与一篮子货币指数的相关最大化可以确定一篮子货币的重量和数量。货币篮子表示美元的权重最高，而英镑的权重最低。我们的货币篮子对中央银行具有高度的线性依赖性。我们发现，根据最佳货币权重，人民币/美元和货币篮子指数具有长期的协整关系。误差校正模型的结果表明，人民币兑美元汇率偏离了长期均衡水平，其中76.3％将被校正。本文检查了预测能力，这表明该模型很好。通过格兰杰因果关系检验，结果表明，中国人民银行参照货币篮子调整了人民币兑美元汇率。

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