The Analysis On The Short-term Fluctuation Of RMB Real Effective Exchange Rate With STAR Model

Ever since the Asia Financial Crisis, China's economy has been in a fast growing with incessant expanded current account surplus and increasing foreign exchange reserve. Under this situation, in 2002, RMB nominal exchange rate basically keeps stable to USD, but got depreciation to Euro and Japanese Yen. If the inflation is under consideration, RMB depreciated by 28%, 16.6% and 5.2% against the three currencies. According to IMF estimation, in 2003, the efficient exchange rate of RMB against other main trading countries'currencies decreased 6%. Such an abnormal exchange rate performance made RMB the focus of the world since the Asian Financial Crisis. All professors, scholars and governmental workers have different attitude towards it, and the call for RMB appreciation arouses.In 21st, July, RMB exchange rate system took an important change, the pegging to USD exchange rate system changed to the managed float exchange rate system referring to a basket of currencies and based on market supply and demand with a wider band of floating. Thus, it is necessary to analyze short-term fluctuation with the departure from long-term trend of RMB exchange rate.Due to our exchange system, nominal exchange rate can not represent our competence,thus this article chooses the real and efficient exchange rate as the research object, analyzes RMB real and efficient exchange rate with h-p filtering to get the short-term floating data,and then uses STAR model to analyze. The result of the analysis shows that the short-term floating of RMB real and efficient exchange rate is non-linear and accords to ESTAR model, and finally, according to this feature, some opinion and political suggestions were given.