Beyond cheap talks: Assessing the undervaluation of the chinese currency between 1994 and 2007

Economie Internationale

Volumn 119, Issue 3, 2009, Pages 47-82

  Chen, Jinzhao ^a  

^a UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

Author keywords

Behavioral equilibrium exchange rate; Cointegration; Misalignment; Renminbi; Structural break

Indexed keywords

EID: 77952403385     PISSN: 12408095     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (57)

1. Alberola, E., 2003. Misalignment, liabilities dollarization and exchange rate adjustment in Latin America, Banco de España Research Paper WP-0309, Banco de España.
2. Alberola, E., Cervero, S. G., Lopez, H., Ubide, A., 2000. Global equilibrium exchange rates: Euro, dollar, "ins" "outs", and other major currencies in a panel cointegration framework, Econometric Society World Congress, Contributed Papers 0051, Econometric Society.
3. Baffes, J., Elbadawi, I. A., O'Connell, S., 1999. Single-equation estimation of the equilibrium real exchange rate, In: Hinkle, L., Montiel, P. (Eds.), Exchange Rate Misalignment: Concepts and Measurement for Developing countries, A World Bank Research Publication, Oxford University Press, 405-65.
4. Balassa, B., 1964. The purchasing power parity: A reappraisal, Journal of Political Economy 72 (6), 584-96.
5. Bénassy-Quéré, A., Duran-Vigneron, P., Lahréche-Révil, A., Mignon, V., 2004. Distributing key currency adjustment: A G-20 panel cointegration approach, in "Dollar Adjustment: How Far? Against What?", Workshop of the Institute for International Economics.
6. Bénassy-Quéré, A., Lahréche-Révil, A., Mignon, V., 2009a. World-consistent equilibrium exchange rates, Journal of the Japanese and International Economy, forthcoming.
7. Bénassy-Quéré, A., Béreau, S., Mignon, V., 2009b. Robust estimations of equilibrium exchange rates within the G20: A panel BEER approach, Scottish Journal of Political Economy, forthcoming.
8. Canzoneri, M. B., Cumby, R. E., Diba, B., 1999. Relative labor productivity and the real exchange rate in the long run: Evidence for a panel of OECD countries, Journal of International Economics 47 (2), 245-66.
9. Chou, W., Shih, Y., 1998. The equilibrium exchange rate of the Chinese renminbi, Journal of Comparative Economics 26 (1), 165-74.
10. Christiano, L. J., Fitzgerald, T. J., 2003. The band pass fi lter, International Economic Review 44 (2), 435-65.
11. Clark, P. B., MacDonald, R., 1998. Exchange rates and economic fundamentals: A methodological comparison of BEERs and FEERs, IMF Working Paper 98/67, International Monetary Fund.
12. Clark, P. B., MacDonald, R., 2004. Filtering the BEER: A permanent and transitory decomposition, Global Finance Journal 15 (1), 29-56.
13. Clostermann, J., Schnatz, B., 2000. The determinants of the euro-dollar exchange rate synthetic fundamentals and a non-existing currency, Applied Economics Quarterly 46 (3), 274-302.
14. Coudert, V., Couharde, C., 2005. Real equilibrium exchange rate in China: Is the renminbi undervalued?, CEPII Working Paper 2005-01.
15. Darné, O., Diebolt, C., 2004. Unit roots and infrequent large shocks: New international evidence on output, Journal of Monetary Economics 51 (7), 1449-65.
16. De Broeck, M., Slok, T., 2006. Interpreting real exchange rate movements in transition countries, Journal of International Economics 68 (2), 368-83.
17. Dejong, D. N., Nankervis, J. C., Savin, N. E., Whiteman, C. H., 1992. Integration versus trend stationarity in time series, Econometrica 60 (2), 423-33.
18. Driver, R., Wren-Lewis, S., 1998. Exchange Rates for the Year 2000, Institute for International Economics, Washington, DC.
19. Edwards, S., 1989. Real Exchange Rates, Devaluation, and Adjustment, MIT Press.
20. Elbadawi, A. I., 1994. Estimating long run equilibrium exchange rates, in: Williamson, J. (ed.), Estimating Equilibrium Exchange Rates, Institute for International Economics.
21. Elliott, G., Rothenberg, T. J., Stock, J. H., 1996. Efficient tests for an autoregressive unit root, Econometrica 64 (4), 813-36.
22. Engle, R. F., Granger, C. W. J., 1987. Co-integration and error correction: Representation, estimation, and testing, Econometrica 55 (2), 251-76.
23. Engle, R. F., Hendry, D. F., Richard, J.-F., 1983. Exogeneity, Econometrica 51 (2), 277-304.
24. Faruqee, H., 1994. Long-run determinants of the real exchange rate: A stock-fl ow equilibrium approach, IMF Staff Papers 42, 80-107.
25. Funke, M., Rahn, J., 2005. Just how undervalued is the Chinese renminbi?, World Economy 28, 465-89.
26. Goux, J.-F., 2005. Le taux de change euro-dollar: une approche fondée sur la co-intégration avec break structurel, Économie internationale 3 (103), 45-72.
27. Hansen, H., Juselius, K., 1995. CATS in RATS: Cointegration Analysis of Time Series, Estima.
28. Jeong, S.-E., Mazier, J., 2003. Exchange rate regimes and equilibrium exchange rates in East Asia, Revue économique 54 (5), 1161-82.
29. Johansen, S., 1988. Statistical analysis of cointegrating vectors, Journal of Economic Dynamics and Control 12, 231-54.
30. Johansen, S., 1991. Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models, Econometrica 59 (6), 1551-80.
31. Johansen, S., 1995. Likelihood-Based Inference in Cointegrated Vector Auto-Regressive Models, Oxford University Press.
32. Johansen, S., Mosconi, R., Nielsen, B., 2000. Cointegration analysis in the presence of structural breaks in the deterministic trend, Econometrics Journal 3 (2), 216-49.
33. Kakkar, V., Ogaki, M., 1999. Real exchange rates and nontradables: A relative price approach, Journal of Empirical Finance 6 (2), 193-215.
34. Lane, P., Milesi-Ferretti, G., 2001. The external wealth of nations: Measures of foreign assets and liabilities for industrial and developing countries, Journal of International Economics 55, 263-94.
35. Lee, J., Strazicich, M., 1999. Minimum LM unit root test, University of Central Florida, working paper series, Department of Economics.
36. Lee, J., Strazicich, M. C., 2003. Minimum lagrange multiplier unit root test with two structural breaks, The Review of Economics and Statistics 85 (4), 1082-89.
37. Lin, B., 2002. Estimating RMB equilibrium real exchange rate and measuring real exchange rate misalignment, Economic Research Journal 12.
38. Lumsdaine, R. L., Papell, D. H., 1997. Multiple trend breaks and the unit-root hypothesis, The Review of Economics and Statistics 79 (2), 212-18.
39. MacDonald, R., 1997. What determines real exchange rates: The long and short of it, Journal of International Financial Markets, Institutions and Money 8 (2), 117-53.
40. MacDonald, R., Ricci, L. A., 2007. Real exchange rates, imperfect substituability, and imperfect competition, Journal of Macroeconomics 29 (4), 639-64.
41. Maeso-Fernandez, F., Osbat, C., Schnatz, B., 2002. Determinants of the euro real effective exchange rate: A BEER/PEER approach, Australian Economic Papers 41 (4), 437-61.
42. Montiel, P. J., 1999. The long-run equilibrium real exchange rate: Conceptual issues and empirical research, in: Hinkle, L., Montiel, P. J. (eds.), Exchange Rate Misalignment: Concepts and Measurement for Developing Countries, A World Bank Research Publication, Oxford University Press, 219-63.
43. Mosconi, R.; 1998. MALCOLM: The Theory and Practice of Cointegration Analysis in RATS, GRETA.
44. Ng, S., Perron, P., 2001. Lag length selection and the construction of unit root tests with good size and power, Econometrica 69 (6), 1519-54.
45. Ohno, K., 1990. Estimating Yen/Dollar and Mark/Dollar purchasing power parities, IMF Staff Paper 37 (3), 700-25.
46. Oxley, L., 2000. Malcolm: The theory and practice of cointegration analysis in rats, Journal of Economic Surveys 14 (3), 359-71.
47. Perron, P., 1989. The great crash, the oil price shock, and the unit root hypothesis, Econometrica 57 (6), 1361-1401.
48. Rogoff, K., 1996. The purchasing power parity puzzle, Journal of Economic Literature 34 (2), 647-68.
49. Samuelson, P. A., 1964. Theoretical notes on trade problems, The Review of Economics and Statistics 46 (2), 145-54.
50. Schwert, G. W., 1989. Tests for unit roots: A Monte Carlo investigation, Journal of Business & Economic Statistics 7 (2), 147-59.
51. Shi, J., Yu, H., 2005. Renminbi equilibrium exchange rate and chinás exchange rate misalignment : 1991-2004, CCER Working Papers No. C2005002, China Centre for Economic Research.
52. Wang, T., 2004. Chinás growth and integration into the world economy: Prospects and challenges, in: Prasad, E. (ed.), Exchange Rate Dynamics, IMF Occasional Paper 232, International Monetary Fund.
53. Williamson, J., 1985. The Exchange Rate System, MIT press, 2nd ed.
54. Yi, G., Fan, M., 1997. The determinants of exchange rate of RMB and tendency analysis, Economic Research Journal 10.
55. Zhang, X., 2002. Equilibrium and misalignment: An assessment of the RMB exchange rate from 1978-1999, Working Paper No. 127, Stanford University.
56. Zhang, Z., 2001. Real exchange rate misalignment in China: An empirical investigation, Journal of Comparative Economics 29, 80-94.
57. Zivot, E., Andrews, D. W. K., 2002. Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis, Journal of Business and Economic Statistics 20 (1), 25-44..