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

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

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Authors

H. Li



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
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

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