ReportTitle:Are there bubbles in Chinese RMB-dollar exchange rate? Evidence from generalized sup ADF tests
Reporter(Institution):Dr. Zhiwei Su（Ocean University of China）
Time:02:00.pm,16th May, 2016
Location:B-201, Building of Economics & Management, JiulonghuCampus
Abstract:The generalized sup ADF (GSADF) unit root tests, which are recently developed, could be well used to analyze the nominal RMB-dollar exchange rates bubbles. This lecture will introduce how to explore whether there are bubbles in Chinese RMB-dollar exchange rate by using the GSADF tests and share the findings through their research. There are strong evidence of explosive behavior in the nominal exchange rate and investigate two bubbles. The first bubble is during 2005–2006 which is determined neither by the relative prices of traded goods nor the relative price of nontraded goods. The second bubble busts in 2008 during subprime crisis period, and which is determined by the relative prices of traded goods but not the relative price of nontraded goods. There is no bubble before 2005 as the exchange rate is under fixed regime.
