Recent RMB Policy and Currency Co-Movements

27 Pages Posted: 14 Jun 2018

See all articles by Robert N. McCauley

Robert N. McCauley

Bank for International Settlements (BIS)

Chang Shu


Date Written: June 11, 2018


This study investigates how variation in the determinants of the renminbi's daily fixing since the August 2015 exchange rate reform maps on to variation in the co- movement of the renminbi with regional and other emerging market currencies. We first identify three post-reform periods of RMB management: transition, basket management and countercyclical management. The co-movement with regional and Latin American currencies peaked in the basket period, when the daily fixing was most predictable and multilateral. By contrast, the decline in co-movement in the countercyclical management period between May and July 2017 leaves it premature to speak of a renminbi zone. The dependence of the co-movements on renminbi management has important implications for renminbi internationalisation.

Keywords: exchange-rate determination; renminbi (CNY) policy, renminbi zone, spillovers, renminbi internationalisation

JEL Classification: F31, F33

Suggested Citation

McCauley, Robert N. and Shu, Chang, Recent RMB Policy and Currency Co-Movements (June 11, 2018). BIS Working Paper No. 727. Available at SSRN:

Robert N. McCauley (Contact Author)

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt

Chang Shu

Independent ( email )

No Address Available

Register to save articles to
your library


Paper statistics

Abstract Views
PlumX Metrics