【IMIWorkingPaperNo.1908[EN]】MeasuringtheImportanceofRenminbiintheExchangeRateSpilloverNetworks:NewIndicesofRMBInternationalization
【Abstract】
With an innovative network approach, this study constructs new indices of Renminbi (RMB) internationalization and presents strong evidence of RMB’s growing influence globally and regionally. We identify networks of exchange rate spillovers and examine time-varying spillover intensities among RMB and world major currencies of G20 members as well as currencies related to the Belt and Road. Shocks from RMB generate intensifying spillovers across currency networks. The role of RMB in the networks has increased steadily over time. Our findings highlight that RMB has become increasingly important since China initiated market reforms of its currency and the proposal of building the modern Belt and Road.
【Keywords】
RMB; spillover, financial network, Belt and Road
【Authors】
Zhou Yinggang, Senior Research Fellow of IMI, Department of Finance at School of Economics, and Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China
Cheng Xin, Department of Finance at School of Economics, Xiamen University, Xiamen, China
Wang Yiming, Department of Public Finance at School of Economics, and Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, China.