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Alleged Chinese Currency manipulation: the case of Yuan in relation to the USD from 2005 to 2020
Belon, Sander ; Semerák, Vilém (advisor) ; Macháček, Vít (referee)
Currency manipulation has been an increasingly infamous studied topic espe- cially since the US accusation of Chinese currency manipulation in the sum- mer of 2019. Such accusations raise the question as to what extend the Chi- nese RMB exchange rate might be considered misaligned. This paper seeks to identify grounds of the accusation of currency manipulation by applying the Behavioural Equilibrium Exchange Rate Model (BEER) to indicate possi- ble misalignment. Annual data from 1980 to 2019 is employed for which this paper will emphasize on the period of 2005 to 2019. The utilised Johansen co-integration test and the Vector Error Correction Model (VECM) suggest a consistent undervaluation of the RMB exchange rate from 1980 to 2019. Such undervaluation ranges from -4.623% to -2.016% with a mean undervaluation from 2005 to 2019 of -2.464%. JEL Classification F12, F21, F23, H25, H71, H87 Keywords Behavioural Equilibrium Exchange Rate, Currency Manipulation, Vector Error Correction Model, China, Renminbi Title Alleged Chinese currency manipulation: the case of the Yuan in relation to the USD from 2005 to 2020. Author's e-mail sander@belon.be Supervisor's e-mail vilem.semerak@fsv.cuni.cz rozmezí od -4,623% do -2,016% s průměrným podhodnocením od roku 2005 do roku 2019 ve výši -2,464%.
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Dutch disease in Russia
Havelka, Robert ; Horváth, Roman (advisor) ; Kukačka, Jiří (referee)
Dutch disease in Russia Robert Havelka Abstract Dutch Disease offers formal explanation to the so-called "Resource curse". Detection of Dutch Disease is divided into individual symptoms. We study the case of Russia, i.e. country which possesses significant reserves of natural resources. Long-term relationship between oil price and Russian real exchange rate was not established (1st symptom), but we find evidence of growth and fall of overall wage level in Russia as predicted by Dutch Disease (2nd symptom). We have been able to find statistically significant long-term relationship between Russian GDP, oil price and crude oil export volumes (3rd symptom). Oil price is found to have positive impact on the output of manufacturing sector, which implies Russian economy is to even larger extent vulnerable to oil price shocks. Last link is in direct contradiction with predictions of our model, but it is likely the result of Russian manufacturing sector not being entirely "non-oil", or that some manufacturing sub-sectors are not producing tradable goods. JEL Classication F30, P28, Q30 Keywords Dutch disease, Russia, exchange rate Author's e-mail robberthz.cz@gmail.com Supervisor's e-mail roman.horvath@gmail.com
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China's Equilibrium Exchange Rate
Hanousek, Milan ; Semerák, Vilém (advisor) ; Kruchynenko, Ihor (referee)
The object of this thesis is to estimate the equilibrium exchange rate of the Chinese currency and to determine how much the actual exchange rate de- viates from the equilibrium value. Throughout the China's central planned period the currency was highly overvalued, but economic reforms have brought it closer to the equilibrium. At the present time, the common perception is that the currency is significantly undervalued. We employ the fundamental equilibrium exchange rate (FEER), which enables to measure overvaluation or undervaluation of the actual real effective exchange rate. The basic require- ments for the calculating the FEER are estimated trade equations, a potential output for China and its main foreign partners and sustainable capital flows. Trade equations are estimated by the Engle-Granger two step estimator and the Johansen methodology. The modified version of trade equations is esti- mated by ordinary least squares. The dataset used in this study is composed of annual observations over the period 1981 and 2010. 1
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Evaluation of China's FOREX policy: equilibrium exchange rate perspective
Qiriga, ; Semerák, Vilém (advisor) ; Baxa, Jaromír (referee)
Master Thesis: Evaluation of China's FOREX Policy: Equilibrium Exchange Rate Perspective. Author: - Qiriga Supervisor: Ing. Vilém Semerák M.A., PhD. Academic Year: 2018/2019 Abstract This thesis investigated China's foreign exchange policy from the equilibrium exchange rate perspective, using the Fundamental Equilibrium Exchange Rate model with multiregional dimension. The core question is whether Renminbi is misaligned (over- or undervalued) from 2001 to 2017. The result indicated that the bilateral nominal exchange rate of Renminbi against the US dollar was undervalued from 2002 to 2013, reaching a peak of 34.2% in 2007. In the rest of the years, it was overvalued slightly against the US dollar. As to the real effective exchange rate (REER) of Renminbi, it was overvalued in the first three years of the 2000s, then went through the period of undervaluation of 9 years, with a smaller degree compared with the bilateral exchange rate. It is shown that from 2013 the REER of Renminbi had been overvalued for several years until it was undervalued again in 2017 by 2%. Keywords FEER, Renminbi, exchange rate misalignment, multinational model, real effective exchange rate
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Vliv devizových intervencí na čistý export České republiky
Nevrklová, Marta
The diploma thesis deals with the influence of foreign exchange interventions on net export of the Czech Republic. The first part deals with unconventional monetary policy instruments with focus on the exchange rate as a tool for zero lower bound situation. The reason why central banks use unconventional monetary policy instruments is described in this part as well as the impact of foreign exchange interventions on international trade. Furthermore, the thesis focuses on the international trade analysis of the Czech Republic and the influence of foreign exchange interventions on imports, exports, turnover and foreign trade balance. It is followed by the quantification of the relationship between the change of the nominal exchange rate CZK/EUR and the Czech international trade through a regression analysis. The results of the thesis show a positive impact of foreign exchange interventions on Czech international trade.
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