China's Intervention in the Central Parity Rate: A Bayesian Tobit Analysis

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

Abstract

This paper investigates China’s daily foreign exchange intervention through the setting and adjustment of the central parity rate, using daily data from July 22, 2005 to July 22, 2013. Applying a Bayes Tobit model, we find evidence that China’s daily price intervention decision is driven by market developments regarding the Chinese currency, international currency movements and macroeconomic conditions. The results further suggest that the objectives of China’s daily price intervention change not only over time, but also between high and low interventions.

Citation

Li, H., Zhang, Z., & Zhang, C. (2017). China's Intervention in the Central Parity Rate: A Bayesian Tobit Analysis. Research in International Business and Finance, 39(Part A), 612-624. https://doi.org/10.1016/j.ribaf.2016.07.017

• Journal Article Type: Article
• Acceptance Date: Jul 8, 2016
• Online Publication Date: Jul 11, 2016
• Publication Date: Jan 1, 2017
• Deposit Date: Sep 19, 2016
• Publicly Available Date: Jan 11, 2018
• Journal: Research in International Business and Finance
• Print ISSN: 0275-5319
• Electronic ISSN: 1878-3384
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 39
• Issue: Part A
• Pages: 612-624
• DOI: https://doi.org/10.1016/j.ribaf.2016.07.017
• Public URL: https://durham-repository.worktribe.com/output/1397428