Statistical properties of the yuan exchange rate index
- 作者：Dong-Hua Wanga ; b ; dhwang@ecust.edu.cn ; Xiao-Wen Yua ; Yuan-Yuan Suoa
- 关键词：Econophysics ; Exchange rate index ; Probability distribution ; Long-range correlations ; Multifractal analysis
- 刊名：Physica A
- 出版年：2012
- 期刊代码：138_03784371
- 类别：et
- 出版时间：15 June, 2012
- 卷：391
- 期：12
- 页码：3503-3512
- 文件大小：459 K
摘要
We choice the yuan exchange rate index based on a basket of currencies as the effective exchange rate of the yuan and investigate the statistical properties of the yuan exchange rate index after China鈥檚 exchange rate system reform on the 21st July 2005. After dividing the time series into two parts according to the change in the yuan exchange rate regime in July 2008, we compare the statistical properties of the yuan exchange rate index during these two periods. We find that the distribution of the two return series has the exponential form. We also perform the detrending moving average analysis (DMA) and the multifractal detrending moving average analysis (MFDMA). The two periods possess different degrees of long-range correlations, and the multifractal nature is also unveiled in these two time series. Significant difference is found in the scaling exponents and singularity spectra of the two periods obtained from the MFDMA analysis. Besides, in order to detect the sources of multifractality, shuffling and phase randomization procedures are applied to destroy the long-range temporal correlation and fat-tailed distribution of the yuan exchange rate index respectively. We find that the fat-tailedness plays a critical role in the sources of multifractality in the first period, while the long memory is the major cause in the second period. The results suggest that the change in China鈥檚 exchange rate regime in July 2008 gives rise to the different multifractal properties of the yuan exchange rate index in these two periods, and thus has an effect on the effective exchange rate of the yuan after the exchange rate reform on the 21st July 2005.