This paper examines the relationship between the official exchange rate and the black market exchange rate in China using the Granger-causality approach, augmented by an error correction term. An additional test has also been applied to support the focus on the black exchange market premium with the Dornbush et al. function added for government policy interventions. Through the analysis of 22 years of monthly data, a non-reversible causal link between the official and black exchange rates is established.
|Place of Publication||Portsmouth|
|Publisher||University of Portsmouth|
|Number of pages||19|
|Publication status||Published - 2009|