Empirical Analysis on the Volatility Transmission of RMB Exchange Rate Under the 2007 Subprime Crisis

摘要

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 international linkage between RMB exchange rate and other currency exchange rates, especially Asian currencies using the multivariate GARCH model. To investigate the impact of the financial crisis caused by the subprime crisis, we divide the sample into two parts: pre-crisis period and crisis period. Finally, we find that there is evidently shock transmission of RMB during the crisis and give a few concluding remarks and some suggestions for future research on volatility transmission of RMB exchange rate under empirical analysis.