Oral Intervention in China: Efficacy of Chinese Exchange Rate Communications

Zhang, Z.; Li, H.; Zhang, C.

Abstract

This paper analyses China's oral intervention and the efficacy of exchange rate communications by the Chinese monetary authorities. Applying the event study approach, we find that exchange rate communication could help the authorities to impact the Chinese exchange rate level moving in the desired direction. Also, China is responsive to international calls, particularly those from the US calling for the appreciation of the RMB exchange rate. But the response is moderately reluctant as the appreciation would occur after a delay of around two weeks. Finally, using the range-based variance model, confirmative evidence is found that successive, rather than solo, exchange rate communications can calm the exchange rate movement in terms of excess volatility.

Citation

Zhang, Z., Li, H., & Zhang, C. (2016). Oral Intervention in China: Efficacy of Chinese Exchange Rate Communications. International Review of Financial Analysis, 49, 24-34. https://doi.org/10.1016/j.irfa.2016.11.006

• Journal Article Type: Article
• Acceptance Date: Nov 18, 2016
• Online Publication Date: Nov 28, 2016
• Publication Date: Nov 28, 2016
• Deposit Date: Dec 14, 2016
• Publicly Available Date: May 28, 2018
• Journal: International Review of Financial Analysis
• Print ISSN: 1057-5219
• Electronic ISSN: 1873-8079
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 49
• Pages: 24-34
• DOI: https://doi.org/10.1016/j.irfa.2016.11.006
• Public URL: https://durham-repository.worktribe.com/output/1389667