出版社:Canadian Research & Development Center of Sciences and Cultures
摘要:This paper examines the effects of the Bank of China’s intervention on RMB/dollar exchange rate volatility by GARCH Model. The empirical results show that the component GARCH models provide new evidence on the effects of the Bank of China’s intervention on the volatility of the CHY/USD exchange rate. The intervention reduces the volatility component from 2008 to 2017. Using the GARCH model to simulate the pattern of rapid appreciation, the pattern of financial crisis, the pattern of devaluation of the RMB, the models are well fitted the trends of exchange rate volatility.
其他摘要:This paper examines the effects of the Bank of China’s intervention on CHY/USD exchange rate volatility by GARCH Model. The empirical results show that the component GARCH models provide new evidence on the effects of the Bank of China’s intervention on the volatility of the CHY/USD exchange rate. The intervention reduces the volatility component from 2008 to 2017. Using the GARCH model to simulate the pattern of rapid appreciation, the pattern of financial crisis, the pattern of devaluation of the RMB, the models are well fitted the trends of exchange rate volatility.
关键词:Foreign Exchange intervention; GARCH model; exchange rate volatility;Foreign exchange intervention;GARCH model;Exchange rate volatility;Scenario simulation;China’s Central Bank
其他关键词:Foreign exchange intervention; GARCH model; Exchange rate volatility; Scenario simulation; China’s Central Bank