2005～2007 RMB Exchange Rate Fluctuations

July 21, 2005, the People's Bank of China issued Notice, China began to implement based on market supply and demand. reference to a basket of currencies to adjust, managed floating exchange rate system. RMB exchange rate will no longer be pegged solely to U.S. dollars, forming the yuan more flexible exchange rate mechanism. In the new exchange rate system the renminbi exchange rate issue has been in the area of macroeconomic hot issues. RMB exchange rate fluctuations of the domestic economy and foreign trade activities have a significant impact on the From the RMB exchange rate fluctuations, the author first of its volatility characteristics of the quantitative description and empirical research, Then yuan for the establishment of specific economic conditions of the exchange rate model, the impact of the renminbi exchange rate fluctuations, and its evaluation of the simple hope that China will formulate relevant policies based on macroeconomic, and China's exchange rate system reform and development to provide some information and reference. This paper is divided into five parts. The first part of the introduction. The second part will be the RMB exchange rate system has evolved. The third part is on ARCH models, the fourth part of the renminbi exchange rate fluctuations features First on the operation of the renminbi and the volatility of the exchange rate differential sequence distribution, Using the model of ARCH Japanese value the RMB exchange rate fluctuations heteroscedasticity and sustainability of research. Quantitative analysis, the rich meaningful conclusions : yen / yuan exchange rate is not ARCH effect, ARMA model can only be used for fitting, in addition to the three other exchange rates (including the yuan / dollar, RMB / euro, the yuan / exchange rate) can be used EGARCH (1,1) model fitting, This shows that China's foreign exchange market in non-symmetrical effect, that is "favorable" news and "bad" news on the impact of market volatility on the asymmetric, These characteristics are required in dealing with the renminbi appreciation or depreciation of shocks, while maintaining the basic stability of the exchange rate, under the premise should make the exchange rate more flexible. appropriately expanding the renminbi exchange rate floating range and gradually improve the RMB exchange rate formation mechanism. Part V of the renminbi exchange rate fluctuations Analysis. By the fourth chapter, yield sequence obey the non-normal distribution of the reasons for the existence of a system is the main reason, Nonlinear make upward pressure. In nonlinear under pressure to revalue the renminbi narrow margin, the renminbi release pressure linear, The result is pressure to revalue the renminbi and the release of nonlinear pressure to make a smooth return series obey the non-normal distribution. Analysis focused on the RMB revaluation pressure on the causes, and the pressure on China to revalue the yuan, To maintain the stability of the RMB, the release of the pressure of RMB appreciation of countermeasures.