Title: On Spillover Effect of RMB Exchange Rate Volatility
Abstract: Since the reform of RMB exchange rate regime in 2005, RMB exchange rate is much more flexible and volatile. The status and influence of RMB are greater with the sustained growth of Chinese economy. This paper investigates the spillover effect of RMB exchange rate on other currencies, especially Asian currencies using the multivariate GARCH model. Finally, we give a few concluding remarks and some suggestions for future research on spillover effect of RMB under empirical analysis.
Publication Year: 2008
Publication Date: 2008-12-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 1
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