<abstract xmlns="http://www.w3.org/1999/xhtml"><p>This paper uses the interval quadratic preference loss function to establish the threshold model of exchange rate volatility by Taylor series expansion, and GMM method to study the intervention behavior of exchange rate. It found that the central bank has asymmetric intervention preference for exchange rate, discontinuous and nonlinear intervention for exchange rate, and there is an intervention threshold, and the central bank has a certain degree of “fear of appreciation” trend. To some extent, asymmetric interval intervention preference has resulted in the rapid growth of China's foreign exchange reserves.</p></abstract>

This paper uses the interval quadratic preference loss function to establish the threshold model of exchange rate volatility by Taylor series expansion, and GMM method to study the intervention behavior of exchange rate. It found that the central bank has asymmetric intervention preference for exchange rate, discontinuous and nonlinear intervention for exchange rate, and there is an intervention threshold, and the central bank has a certain degree of “fear of appreciation” trend. To some extent, asymmetric interval intervention preference has resulted in the rapid growth of China's foreign exchange reserves.

Nonlinear Relationship based on Range Quadratic Loss Function

Kunming University of Science and Technology

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Nonlinear Relationship based on Range Quadratic Loss Function"}

This paper uses the interval quadratic preference loss function to establish the threshold model of exchange rate volatility by Taylor series expansion, and...

parameter	Coefficient value	T-value	Standard deviation	P value
θ₀	0.316^***	8.145	0.0387	0.00
θ₁	−0.258^**	−2.03	0.127	0.04

parameter	Coefficient value	T-value	Standard deviation	P value
θ₀	0.348^***	12.065	0.0285	0.00
$θ_{1}^{0}$ \theta _1^0	−0.687^***	−5.251	0.130	0.00
$θ_{1}^{}$ \theta _1^	−0.348	−1.164	0.299	0.213

parameter	Coefficient value	T-value	Standard deviation	P value
β₀	0.356^***	6.245	0.057	0.00
β₁	−0.158	−0.151	0.829	0.41
β₂	−0.932^***	−4.571	0.203	0.00

Nonlinear Relationship based on Range Quadratic Loss Function

Publié en ligne: 20 août 2020

Pages: 483 - 492

Reçu: 28 nov. 2019

Accepté: 01 févr. 2020

DOI: https://doi.org/10.2478/amns.2020.2.00024

Mots clés
Central zone of intervention preferences, The threshold of exchange rate fluctuation, GMM

© 2020 Zhangjie Sun, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Fig. 2

Estimated Results of Equation (9)

Estimated Results of Equation (10)

Estimated Results of Equation (8)

Nonlinear Relationship based on Range Quadratic Loss Function

Publié en ligne: 20 août 2020

Pages: 483 - 492

Reçu: 28 nov. 2019

Accepté: 01 févr. 2020

DOI: https://doi.org/10.2478/amns.2020.2.00024

Mots clésCentral zone of intervention preferences, The threshold of exchange rate fluctuation, GMM

© 2020 Zhangjie Sun, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Fig. 2

Estimated Results of Equation (9)

Estimated Results of Equation (10)

Estimated Results of Equation (8)

Mots clés
Central zone of intervention preferences, The threshold of exchange rate fluctuation, GMM