Market Efficiency of Ruble-RMB Exchange Rates: Long-run Equilibrium, VAR Estimates and Granger Causality Tests

DOI

10.2991/ssemse-15.2015.340How to use a DOI?

Keywords

Cointegration; exchange rate; efficient market hypothesis; Granger causality; structural break; vector autoregressive model

Abstract

China-Russia Ruble-RMB currency swap agreement may have long-run and short-run exchange risks for China. This paper mainly aims to investigate the informational efficiency of Ruble-RMB foreign exchange market. Methods used include the ADF and PP tests, the Perron test, the Johansen trace and Engle-Granger tests, vector autoregressive model and Granger causality test. Cointegration does not exist between the exchange rates of Ruble, dollar, euro, yen and pound to RMB, suggesting long-run informationally efficient. We constructed a first-differenced VAR for these exchange rates. We find a unidirectional Granger causality from euro-RMB exchange rate to Ruble-RMB exchange rate, suggesting short-run informationally inefficient. Hence, the Ruble-RMB foreign exchange market violates the efficient market hypothesis (EMH) and the Ruble-RMB currency swaps may not receive diversification benefits in the short run.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Gaolu Zou
PY  - 2015/11
DA  - 2015/11
TI  - Market Efficiency of Ruble-RMB Exchange Rates: Long-run Equilibrium, VAR Estimates and Granger Causality Tests
BT  - Proceedings of the 2015 International Conference on Social Science, Education Management and Sports Education
PB  - Atlantis Press
SP  - 1324
EP  - 1327
SN  - 2352-5398
UR  - https://doi.org/10.2991/ssemse-15.2015.340
DO  - 10.2991/ssemse-15.2015.340
ID  - Zou2015/11
ER  -