Dependence Structure of Yuan and Euro Before and After Yuan Joined SDR Basket: Copula Time-varying Approach

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KHIABANI NASSER; Bozorg Shadi

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Journal Paper

Paper Information

Journal: Economic and Planning Research Year:2022 | Volume:27 | Issue:3 Page(s): 3-26

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Information Journal Paper

Title

Dependence Structure of Yuan and Euro Before and After Yuan Joined SDR Basket: Copula Time-varying Approach

Author(s)

KHIABANI NASSER | Bozorg Shadi | Issue Writer Certificate

Keywords

Dependence Structure

Copula

Tail Dependence

SDR Basket

Yuan

Abstract

This paper examines the Dependence Structure between two currencies (Yuan and Euro) before and after Yuan joins the SDR Basket. To this end, we propose SJC Copula Time-varying approach for the daily closing price of these currencies for the period 2005-2020. According to the evidence, the behavior of Chinese monetary authorities in response to Euro-Dollar has changed. In the first period, exchange rates are more correlated when they are depreciating against dollar compared to when they are appreciating. This means that the Chinese monetary authorities' priority has been to maintain a competitive advantage in world trade and thus to intervene to depreciate Yuan as euro depreciates against dollar. In the second period, with the internationalization of Yuan, China's strategy changed and reacted more drastically to the appreciation of Euro against dollar,PBOC intervenes to appreciate Yuan, stabilizing its currency price. In this case, by supporting investors, it encourages them to maintain and even increase the Yuan share in their portfolio.

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APA: Copy

KHIABANI, NASSER, & Bozorg, Shadi. (2022). Dependence Structure of Yuan and Euro Before and After Yuan Joined SDR Basket: Copula Time-varying Approach. THE JOURNAL OF PLANNING AND BUDGETING, 27(3 ), 3-26. SID. https://sid.ir/paper/1064028/en

Vancouver: Copy

KHIABANI NASSER, Bozorg Shadi. Dependence Structure of Yuan and Euro Before and After Yuan Joined SDR Basket: Copula Time-varying Approach. THE JOURNAL OF PLANNING AND BUDGETING[Internet]. 2022;27(3 ):3-26. Available from: https://sid.ir/paper/1064028/en

IEEE: Copy

NASSER KHIABANI, and Shadi Bozorg, “Dependence Structure of Yuan and Euro Before and After Yuan Joined SDR Basket: Copula Time-varying Approach,” THE JOURNAL OF PLANNING AND BUDGETING, vol. 27, no. 3 , pp. 3–26, 2022, [Online]. Available: https://sid.ir/paper/1064028/en

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