The macro driving factors of co-movement of RMB with other currencies in FX markets

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2024-09-20 DOI:10.1016/j.irfa.2024.103581

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Abstract

The co-movement of the RMB exchange rate with other currencies highlights the global standing of the RMB and its significance in FX markets. This paper employs the rational expectations present-value model of exchange rates to identify the macroeconomic factors influencing this co-movement. Our finding reveals a general increase in the RMB's co-movement with other currencies, especially after the 2015 reform of the RMB exchange rate regime, known as the “811 Reform”. Factors such as the synchronizations of output and monetary policy, as well as global market sentiment significantly, can affect this co-movement significantly. However, this explanatory power is relatively weaker compared to trade linkage. The market-oriented reforms in the RMB exchange rate regime and the liberalization of capital account in China have indeed strengthened this co-movement. Additionally, various international cooperation policies taken by the Chinese government have demonstrated promotional effects. This study echoes the traditional exchange rate determination theory and offers some policy implications for the internationalization of the RMB.

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人民币与其他货币在外汇市场共同波动的宏观驱动因素

人民币汇率与其他货币的同向波动彰显了人民币的全球地位及其在外汇市场中的重要性。本文采用汇率的理性预期现值模型来识别影响这种同向变动的宏观经济因素。我们的研究结果表明，人民币与其他货币的同向波动普遍增加，尤其是在 2015 年人民币汇率制度改革（即 "811 改革"）之后。产出和货币政策的同步性以及全球市场情绪等因素，都会对这种协动性产生重大影响。然而，与贸易联系相比，这种解释力相对较弱。中国人民币汇率制度的市场化改革和资本账户的开放确实加强了这种协动性。此外，中国政府采取的各种国际合作政策也显示出了促进作用。本研究呼应了传统的汇率决定理论，并为人民币国际化提供了一些政策启示。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.