2010年-BIS国际清算银行_The_evolving_renminbi_regime_and_implications_for_Asian_currency_stability_22页_690kb

Summary of "The Evolving Renminbi Regime and Implications for Asian Currency Stability"

Core Content

This paper by Guonan Ma and Robert N McCauley examines the evolution of the Chinese renminbi (RMB) exchange rate regime and its implications for regional currency stability in Asia. The authors analyze the RMB's management against major currencies and a trade-weighted basket over four distinct periods, focusing on the years 2006–2008 when the RMB was managed in a more flexible manner.

Main Points

1. RMB Management and the Basket Approach

• The Chinese authorities claim that the RMB is managed against a basket of currencies, not just the US dollar.
• The paper challenges the view of outside analysts who argue that the RMB has shown little variation against the dollar, suggesting instead that the basket approach may be more plausible.
• The RMB appreciated gradually against its trade-weighted basket, which includes the euro, yen, and Korean won, during 2006–2008.

2. Empirical Evidence from Regression Analysis

• The authors conduct regression analysis across different frequencies (daily, weekly, monthly) using two numeraires: the US dollar and the Special Drawing Right (SDR).
• In the period June 2006 to May 2008, the RMB showed significant co-movement with the euro, yen, and Korean won, suggesting a basket-based management approach.
• The constant term in the regression models was statistically significant, indicating an appreciating trend independent of the dollar's movements.

3. Graphical Analysis of RMB Stability

• The RMB's effective exchange rate (NEER) was relatively stable during 2006–2008, moving within a narrow band of ±2%.
• The RMB's appreciation rate was moderate, around 2% per annum, and aligned with the Singapore dollar's management style.
• The NEER was not closely tied to the US dollar cycle, but rather to a broader basket of currencies, which helped maintain regional stability.

4. Error-Correction Model

• The authors estimate an error-correction model to formalize the graphical analysis.
• The model shows that daily movements of the RMB NEER are influenced by the US dollar's effective exchange rate and the deviation from the central band.
• The RMB's return to the center of the band was gradual, supporting the basket management hypothesis.

5. Implications for Asian Currency Stability

• The basket management approach contributed to greater stability among East Asian currencies.
• This stability is broader than that observed among ASEAN countries.
• The paper suggests that such a shared policy could foster regional monetary cooperation.

Key Information

• Time Periods Analyzed:

  • January 1999–June 2005 (dollar peg)
  • July 2005–May 2006 (transitional phase)
  • June 2006–May 2008 (basket management)
  • June 2008–April 2010 (reversion to dollar peg)

• Exchange Rate Regime:

  • Initially a strict dollar peg.
  • Transitioned to a basket management approach in 2006–2008.
  • Reverted to a dollar peg in mid-2008 due to the global financial crisis.

• Basket Composition:

  • Includes the euro, yen, and Korean won.
  • The US dollar has a weight of about one-sixth in the basket.
  • The RMB's NEER index is based on trade data from 58 economies.

• Volatility and Stability:

  • The RMB's effective exchange rate was more stable than its bilateral rate against the dollar.
  • The RMB NEER moved within ±2% of the trend during 2006–2008.
  • The basket approach helped maintain a degree of stability and competitiveness in a multicurrency environment.

• Regional Implications:

  • A basket-based RMB regime could lead to greater regional currency stability.
  • This approach might encourage more regional monetary cooperation compared to a strict dollar peg.

Conclusion

The paper concludes that the RMB's management during 2006–2008, though not fully confirmed by external analysts, is supported by the data. The basket approach contributed to stability in East Asian currencies, and a shared policy of gradual appreciation could foster regional cooperation. However, the global financial crisis in mid-2008 forced a return to a dollar peg, highlighting the importance of external shocks in shaping exchange rate policy.