The Jump Dynamics of the Industry-Specific Nominal Effective Exchange Rate of RMB and the Impact of Major International Currencies on It—An Empirical Study Based on the ARJI Model

摘要

In this paper, the Autoregressive Jump Intensity (ARJI) model with time-varying jumps is used to measure the daily exchange rate volatility and jump intensity of 13 Chinese manufacturing segments from January 1, 2001 to June 30, 2017. The statistical characteristics are analyzed and compared. We further explore the impact of international major payment currencies’ volatility on the industry-specific nominal effective exchange rate (INEER) risks for various industries in China. First, the results show that there are certain differences in exchange rate fluctuation and jump dynamics between different industries. The exchange rate volatility and jump intensity for paper, non-metal and metal industries are small, while for petroleum, rubber, electrical machinery and other industries are larger. Second, the U.S. dollar, German mark and Japanese yen have significantly different effects on exchange rate fluctuations and jump risks in various industries, and the degree of impact is weakened in turn. Finally, the analysis of the sub-sample shows that after the financial crisis, the impact of dollar and yen on the fluctuations of INEER for most industries has declined significantly, and the impact of mark has generally increased.