Correlation analysis of RMB exchange rate against Yen,Dollar and Euro respectively based on Copula function
The Gumbel Copula functions and Clayton Copula function of the Archimedean-Copula Functions were selected for the Kendall correlation analysis based on the data of Central parity rate of RMB exchange rate against yen,dollar and euro respectively from July 25,2005 to April 15,2010.And the log-daily returns of the U.S.dollar,the euro and the Japanese yen against the RMB were contrasted by the index of tail dependence.The results show that the U.S.dollar against the RMB exchange rate has a negative correlation with the euro and the yen,while the euro positive correlation with the yen.Therefore,if the exchange rate policy of the U.S.dollar against the RMB turns to the direction of RMB appreciation in the environment that U.S.government puts pressure on the RMB exchange rate,the interests of European Union and Japan will decrease.