Yuan-SDR exchange rate after the entry of Yuan into SDR basket
DOI:
https://doi.org/10.26439/ddee2022.n002.5572Keywords:
Yuan, dólar estadounidense, tipo de cambio efectivo nominal, tipo de cambio efectivo real, sistema monetario internacionalAbstract
International Monetary System has appeared in a new form since Yuan was included in the currency basket of Special Drawing Rights (SDR) with a weight after the US Dollar and the Euro. In this new scenario, it is examined the inter-relationships among the exchange rates of Yuan-SDR, Yuan-US Dollar, nominal effective exchange rate (NEER) and real effective exchange rate (REER) of Yuan and seeks to find out any influence on Yuan per SDR due to changes in Yuan-US Dollar exchange rates along with the changes of NEER and REER respectively because in SDR basket Yuan exchange rate with currency baskets have been calculated daily under freely floating exchange rate for which China has to reform exchange rate mechanism and capital market structure. It is applied Hamilton decomposition regression filter of Yuan per SDR from 2017m1 to 2021m7 and found that the cyclical trend of Yuan SDR exchange rate is inverse U shaped and its cyclical pattern constitutes seasonal variations. Johansen cointegration test and vector error correction model was used and found that Yuan per SDR has long run causalities from the Yuan per dollar and NEER of Yuan respectively. Moreover, the Yuan per dollar, REER and NEER of Yuan have short run causalities from the Yuan per SDR exchange rate.
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