文献类型：期刊文献

英文题名：Statistical properties of the yuan exchange rate index

作者：Wang, Dong-Hua[1,2];Yu, Xiao-Wen[1];Suo, Yuan-Yuan[1]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China

年份：2012

卷号：391

期号：12

起止页码：3503

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20121214876777);WOS:【SCI-EXPANDED(收录号:WOS:000302837300016)】；

基金：We thank Gao-Feng Gu, Zhi-Qiang Jiang, Fei Ren, and Wei-Xing Zhou for helpful discussions. This research is supported by the National Science Foundation of China (Grant No. 71171083) and the Humanities and Social Sciences Fund sponsored by the Ministry of Education of the Peoples Republic of China (Grant No. 09YJC630075).

语种：英文

外文关键词：Econophysics; Exchange rate index; Probability distribution; Long-range correlations; Multifractal analysis

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's 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 tau(q) and singularity spectra f(alpha) 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's 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. (C) 2012 Elsevier B.V. All rights reserved.