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An Analysis of Flexibility of RMB Exchange Rate and Measure of Elastic Space of Exchange Rate and its Dynamic Correlation
Author(s): 
Pages: 52-62
Year: Issue:  8
Journal: Modern Finance and Economics-Journal of Tianjin University of Finance and Economics

Keyword:  elastic space of exchange rateflexibility indexdynamic correlation;
Abstract: Based on the theory of exchange rate flexibility index and EWMA model,we put forward the calculation method about construction of time sequence of daily exchange rate flexibility index.,through DCC-GARCH model,we make dynamic correlation analysis on elastic index and volatility space,we find that:there is a long-term equilibrium relationship and positive dynamic correlation between elastic space of exchange rate and flexibility index.Elastic space of exchange rate fluctuation should be matched with flexibility index;the gradual flexibility of RMB exchange rate and marketization of regulation,to a degree,proves the acceleration of RMB exchange rate liberalization process.
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