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An empirical analysis of China's equilibrium exchange rate: A co-integration approach

Author

Listed:
  • Gan, Christopher
  • Ward, Bert
  • Ting, Su Ting
  • Cohen, David A.

Abstract

This paper estimates time specific values for China's long-run equilibrium exchange rate and develops measures of the direction and extent of misalignment based on a reduced-form real effective exchange rate (REER) model. An appropriately specified long-run equilibrium model is estimated and tested following Johansen and Juselius (1990) procedures, which is then used to construct an estimated time path for long-run equilibrium exchange rate values.

Suggested Citation

  • Gan, Christopher & Ward, Bert & Ting, Su Ting & Cohen, David A., 2013. "An empirical analysis of China's equilibrium exchange rate: A co-integration approach," Journal of Asian Economics, Elsevier, vol. 29(C), pages 33-44.
    • Handle: RePEc:eee:asieco:v:29:y:2013:i:c:p:33-44
    DOI: 10.1016/j.asieco.2013.08.005
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    Cited by:

    1. Yin-Wong Cheung & Shi He, 2019. "Truths and Myths About RMB Misalignment: A Meta-analysis," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 61(3), pages 464-492, September.
    2. Banerjee, Krittika & Goyal, Ashima, 2021. "Behavioural​ equilibrium real exchange rates and misalignments: Evidence from large emerging markets," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 414-436.
    3. Coppola,Andrea & Lagerborg,Andresa & Mustafaoglu,Zafer, 2016. "Estimating an equilibrium exchange rate for the Argentine Peso," Policy Research Working Paper Series 7682, The World Bank.
    4. Yin-Wong Cheung & Wenhao Wang, 2020. "A Jackknife Model Averaging Analysis of RMB Misalignment Estimates," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-45, June.
    5. Imai, Hiroyuki, 2018. "China’s rapid growth and real exchange rate appreciation: Measuring the Balassa-Samuelson effect," Journal of Asian Economics, Elsevier, vol. 54(C), pages 39-52.
    6. Schröder, Marcel, 2017. "Mercantilism and China's hunger for international reserves," China Economic Review, Elsevier, vol. 42(C), pages 15-33.
    7. Gobbi, Lucio & Lucarelli, Stefano, 2022. "Pound Sterling depreciation and the UK's trade balance versus the USA's: Industry-level estimates," Structural Change and Economic Dynamics, Elsevier, vol. 60(C), pages 206-220.

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