ABSTRACT
In this chapter, we analyze the dynamic relationships of the renminbi (RMB) and other factors, including CNH and CNY, SDR currencies and China’s foreign trade. First, a hybrid approach named the EMD-Bry-Boschan method is proposed to study the lead–lag relationship between the offshore RMB and the onshore RMB under the influence of extreme events. In this part, the EMD algorithm is used to decompose the offshore RMB and the onshore RMB to several different intrinsic mode functions and a residual sequence respectively, and EMD-Bry-Boschan method is employed to analyze the lead–lag relationship between the CNH spot exchange rate and CNY spot exchange rate when extreme events are caused by the market factors and/or policy factors. Secondly, for evaluating the influence of the RMB joining the Special Drawing Right (SDR) basket on RMB’s internationalization, we propose a new hybrid approach by integrating the directed acyclic graph (DAG) and structural vector autoregression (SVAR) to further analyze and assess the risk spill over and the resulting dynamic change between the SDR currencies before and after the RMB joined the SDR basket. Thirdly, after the “811 exchange rate reform”, the renminbi continued to depreciate against the US dollar, with a cumulative depreciation of 8.42% from August 2015 to June 2016. Therefore, an extended event analysis method is utilized to quantitatively measure the impact of renminbi depreciation on China’s imports and exports.
