DocumentCode
2941270
Title
Notice of Retraction
Empirical Analysis on the Volatility Transmission of RMB Exchange Rate Under the 2007 Subprime Crisis
Author
Jia-ping Zhang ; Ridong Hu
Author_Institution
Sch. of Commerce, Huaqiao Univ., Quanzhou
fYear
2009
fDate
20-22 Feb. 2009
Firstpage
58
Lastpage
62
Abstract
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Since the reform of RMB exchange rate regime in 2005, RMB exchange rate is much more flexible and volatile. The status and influence of RMB are greater with the sustained growth of Chinese economy. This paper investigates the international linkage between RMB exchange rate and other currency exchange rates, especially Asian currencies using the multivariate GARCH model. To investigate the impact of the financial crisis caused by the subprime crisis, we divide the sample into two parts: pre-crisis period and crisis period. Finally, we find that there is evidently shock transmission of RMB during the crisis and give a few concluding remarks and some suggestions for future research on volatility transmission of RMB exchange rate under empirical analysis.
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Since the reform of RMB exchange rate regime in 2005, RMB exchange rate is much more flexible and volatile. The status and influence of RMB are greater with the sustained growth of Chinese economy. This paper investigates the international linkage between RMB exchange rate and other currency exchange rates, especially Asian currencies using the multivariate GARCH model. To investigate the impact of the financial crisis caused by the subprime crisis, we divide the sample into two parts: pre-crisis period and crisis period. Finally, we find that there is evidently shock transmission of RMB during the crisis and give a few concluding remarks and some suggestions for future research on volatility transmission of RMB exchange rate under empirical analysis.
Keywords
economics; exchange rates; 2007 subprime crisis; Asian currencies; Chinese economy; RMB exchange rate; multivariate GARCH model; volatility transmission; Analytical models; Business; Computational modeling; Computer simulation; Couplings; Covariance matrix; Econometrics; Economic forecasting; Electric shock; Exchange rates; MGARCH; exchange rate; shock; transmission effect; volatility;
fLanguage
English
Publisher
ieee
Conference_Titel
Computer Modeling and Simulation, 2009. ICCMS '09. International Conference on
Conference_Location
Macau
Print_ISBN
978-0-7695-3562-3
Type
conf
DOI
10.1109/ICCMS.2009.44
Filename
4797355
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