<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...

Nonlinear Relationship based on Range Quadratic Loss Function

Data publikacji: 20 sie 2020

Zakres stron: 483 - 492

Otrzymano: 28 lis 2019

Przyjęty: 01 lut 2020

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

Słowa kluczowe
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.

Nonlinear Relationship based on Range Quadratic Loss Function

Data publikacji: 20 sie 2020

Zakres stron: 483 - 492

Otrzymano: 28 lis 2019

Przyjęty: 01 lut 2020

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

Słowa kluczoweCentral 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.

Słowa kluczowe
Central zone of intervention preferences, The threshold of exchange rate fluctuation, GMM