Volume 27, Issue 3 (Autunm 2022)
JPBUD 2022, 27(3): 3-26 |
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Khiabani N, Bozorg S. (2022). Dependence Structure of Yuan and Euro Before and After Yuan Joined SDR Basket: Copula Time-varying Approach. JPBUD. 27(3), 3-26. doi:10.52547/jpbud.27.3.3
URL: http://jpbud.ir/article-1-2114-en.html
URL: http://jpbud.ir/article-1-2114-en.html
1- Department of Economics Allameh Tabatabai University, Tehran, Iran,
2- Allameh Tabatabai University, Tehran, Iran.
2- Allameh Tabatabai University, Tehran, Iran.
Abstract: (1758 Views)
This paper examines the dependence structure between two currencies (Yuan and Euro) before and after Yuan joins the SDR basket. To this end, we propose SJC copula Time-varying approach for the daily closing price of these currencies for the period 2005-2020. According to the evidence, the behavior of Chinese monetary authorities in response to Euro - Dollar has changed. In the first period, exchange rates are more correlated when they are depreciating against dollar compared to when they are appreciating. This means that the Chinese monetary authorities' priority has been to maintain a competitive advantage in world trade and thus to intervene to depreciate yuan as euro depreciates against dollar. In the second period, with the internationalization of yuan, China's strategy changed and reacted more drastically to the appreciation of Euro against dollar; PBOC intervenes to appreciate Yuan, stabilizing its currency price. In this case, by supporting investors, it encourages them to maintain and even increase the Yuan share in their portfolio.
Type of Study: Research |
Subject:
financial economics
Received: Jun 12 2022 | Accepted: Nov 29 2022 | ePublished: Feb 08 2023
Received: Jun 12 2022 | Accepted: Nov 29 2022 | ePublished: Feb 08 2023
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