Research On The Exchange Rate Dependence Of RMB Against Three Major Currencies

In July 2005,the People's Bank of China announced that it would reform the RMB exchange rate mechanism.In June 2010,the second exchange rate reform was launched.With the continuous advancement of the RMB exchange rate reform,the marketability and flexibility of the RMB exchange rate gradually increased,and the relationship with other countries'currencies.More and more tight.In 2016,the RMB joined the special drawing rights currency basket,and the internationalization of the RMB in the Chinese foreign exchange market has taken a solid step forward.The increasingly close trade relations and economic exchanges between countries have made the relationship between the foreign exchange market and foreign exchange assets more complicated.The study of the inter-currency dependence helps countries,enterprises and individual investors to better understand the relationship between their currencies and other countries' currencies,so that they can make a reasonable response to the changes in the exchange rate market,thus realizing the foreign exchange market.Policy adjustments or risk aversion.The interdependence between currencies presents a nonlinear and asymmetric dependent mode.The traditional linear analysis method can not meet the research needs of increasingly complex inter-currency relations,while the Copula function is used to study the dependence between financial markets and financial assets.The relationship is of great help.Therefore,based on the perspective of Copula function,this paper studies the dependence of RMB on the exchange rates of three major currencies.Based on the edge distribution of AR(1)GJR,Gaussian Copula,t Copula,DCC-are constructed.The Gaussian and DCC-t Copula models were analyzed.Taking into account the development history of China's exchange rate market,before 2005,the implementation of the RMB exchange rate system with a single peg to the US dollar is of little significance for this article.Therefore,this paper selects a data from the exchange reform to the end of 2018.This paper introduces Copula's basic theory and model construction method,expounds the mechanism of exchange rate dependence,and constructs static and dynamic Copula model to describe the dependence of RMB on USD.EUR and JPY.Finally,the article summarizes the full-text research and proposes the prospects of relevant research questions.