Multifractal analysis of the dollar–yuan and euro–yuan exchange rates before and after the reform of the peg
Multifractal analysis of the dollar–yuan and euro–yuan exchange rates before and after the reform of the peg
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DOI：
10.1080/14697681003785983
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发表时间：
2011-04
影响因子：
1.3
通讯作者：
François G. Schmitt;Li Ma;Thierry Angounou
中科院分区：
文献类型：
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作者：
François G. Schmitt;Li Ma;Thierry Angounou
自70年代末中国开始改革以来，中国的经济增长令人印象深刻;二十多年来，增长率一直接近10%。根据国际货币基金组织的数据，2005年中国的国内生产总值（GDP）超过英国，成为世界第四大经济体。2006年和2007年，中国和德国的国内生产总值非常接近，到2008年底，中国成为第三个国家的国内生产总值，仅次于美国和日本。2009年，其增长非常强劲（10.7%），中国在2010年成为第二经济大国。中国现在也被认为是世界工厂，是电视机、手机和玩具等商品的第一生产国。自20世纪80年代初以来，中国人的日常生活发生了许多变化。在国内一级，这一令人印象深刻的增长率的结果是生活在贫困线以下的人口大幅减少，中产阶级逐步出现。与此同时，中国对西欧和美国的贸易顺差也在大幅增加，有观点认为人民币汇率是造成这种顺差的主要原因（Goldstein 2003）。因此，人民币汇率制度成为重要的经济课题（安德森2004，Bouveret et al. 2006，McKinnon and Schnabl 2006，McKinnon 2007）。例如，一些作者认为，人民币被严重低估（Chang and Shao 2004），外国直接投资在中国的繁荣受到中国汇率政策的有力帮助（Xing 2006）。几年前，2005年7月21日，这个系统被修改了。在此之前，中国人民银行（PBC）在10多年的时间里一直实行固定的平价，幅度很小。2005年7月21日之后，采用了一个更复杂的程序，可能会缓慢重估。我们在这里考虑这种汇率制度对外汇波动的影响：为此，我们考虑这些波动的标度性质，通过功率谱和结构 * 相应作者。电子邮件：francois.施密特@ univ-lille1.fr
Since the beginning of the reforms in China in the late seventies, the economic growth of China has been impressive; for more than two decades, the growth rate has been close to 10%. According to the IMF, China surpassed the UK in terms of Gross Domestic Product (GDP) to become the world’s fourth largest economy in 2005. For 2006 and 2007 the GDP of China and Germany were very close, and by the end of 2008 China became the third nation in terms of GDP, behind the United States and Japan. In 2009, its growth was very strong (10.7%) and China became the second economic power in 2010. China is also now considered the World’s factory, being the first producer of goods such as televisions, cell phones, and toys. Since the beginning of the 1980s, there have been many changes in the daily life of Chinese people. At the internal level, the result of this impressive growth rate has been a strong decrease of people living below the poverty line, and the progressive appearance of a middle class. At the same time, the trade surplus of China vis-a-vis Western Europe and the United States is strongly increasing, and the exchange rate of the yuan has been considered by some sources to be the main reason for this surplus (Goldstein 2003). The yuan exchange rate system is thus becoming an important economic issue (Anderson 2004, Bouveret et al. 2006, McKinnon and Schnabl 2006, McKinnon 2007). Some authors have argued, for example, that the yuan is strongly undervalued (Chang and Shao 2004) and that the boom in foreign direct investment in China has been strongly helped by China’s exchange rate policy (Xing 2006). A few years ago, on July 21, 2005, this system was modified. Before this, for more than 10 years a fixed parity was imposed by the People’s Bank of China (PBC), with a small margin. After July 21, 2005, a more complex procedure was adopted, with a possible slow revaluation. We consider here the effect of this exchange rate system on foreign exchange fluctuations: for this, we consider the scaling properties of these fluctuations, through power spectra and structure *Corresponding author. Email: francois.schmitt@univ-lille1.fr