Analysis of RMB Exchange Rate Fluctuations under the Covid-19—Taking the RMB-USD Exchange Rate as an Example-OA Journal of Economy and Management-Pubscie

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Analysis of RMB Exchange Rate Fluctuations under the Covid-19—Taking the RMB-USD Exchange Rate as an Example

DOI: 10.26855/oajem.2022.09.010
Year, volume (issue): 2022, 1(2)
pp. 118-126
Published in: OA Journal of Economy and Management
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Siqin Sun, Ruijia Zhong

Covid-19, Currency Rate, Arch, Garch, Egarch, Tgarch models

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Abstract

As the new crown epidemic spreads further, investors in the foreign exchange market further choose risk aversion strategies, making the RMB exchange rate depreciate continuously. This change not only affects the Chinese economy, but also has a significant impact on the worlds major economies. This paper uses the RMB-USD exchange rate series as the research object, and introduces the Arch, Garch regression analysis method for comparative analysis, and combines the Egarch and Tgarch asymmetric regression analysis method for the impact of good news and bad news on exchange rate fluctuations. I found that the Garch method is more effective in predicting exchange rate fluctuations, and existing a greater impact of bad news on exchange rate movements in the new environment. This has practical implications for the countrys stabilization of the foreign exchange market and the prevention of potential financial risks arising from short-term large-scale capital flows.

Keywords: Covid-19, Currency Rate, Arch, Garch, Egarch, Tgarch models

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