Market Efficiency of Ruble-RMB Exchange Rates: Long-run Equilibrium, VAR Estimates and Granger Causality Tests

摘要

China-Russia Ruble-RMB currency swap agreement may have long-run and short-run exchange risks for China. This paper mainly aims to investigate the informational efficiency of Ruble-RMB foreign exchange market. Methods used include the ADF and PP tests, the Perron test, the Johansen trace and Engle-Granger tests, vector autoregressive model and Granger causality test. Cointegration does not exist between the exchange rates of Ruble, dollar, euro, yen and pound to RMB, suggesting long-run informationally efficient. We constructed a first-differenced VAR for these exchange rates. We find a unidirectional Granger causality from euro-RMB exchange rate to Ruble-RMB exchange rate, suggesting short-run informationally inefficient. Hence, the Ruble-RMB foreign exchange market violates the efficient market hypothesis (EMH) and the Ruble-RMB currency swaps may not receive diversification benefits in the short run.