The Two-Pillar Policy for the RMB

• 成果类型: Article
• 署名作者: Jermann, Urban J.; Wei, Bin; Yue, Vivian Z.
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13178
• 发表日期: 2022
• 页码: 3093-3140
• 关键词: exchange-rate; target zones; RISK; WORLD

摘要

This paper studies China's recent exchange rate policy for the renminbi (RMB). We demonstrate empirically that a two-pillar policy is in place, aiming to balance exchange rate flexibility and RMB index stability via market and basket pillars. We further extend and validate the formulation that incorporates the so-called countercyclical factor. Theoretically, we develop a flexible-price monetary model for the RMB in which the two-pillar policy arises endogenously as an optimal response of the government. We estimate the model by generalized method of moments and quantitatively assess various policy trade-offs.