I posted on ANZ's Research on the new RMB basket, they expect higher volatility
ANZ on China's new yuan basket: Expect higher volatility in USD/CNY fixing & spot rate
Others, though, disagree:
Goldman Sachs says the new expanded basket
- Appears to have mitigated the market's concern about a sharp one-off devaluation risk
- New basket "would have shown somewhat less depreciation, falling 2.4 percent in 2016 vs. 3.7 percent actual performance
- And it would also have shown less volatility
Barclays:
- New basket is not markedly different
- Say the yuan is less volatile ... the new index in H2 of 2016 "has been relatively stable" ... & in an even narrower range"
Société Générale:
- Impact of new basket "inconsequential"
- The difference is minuscule
- The volatility pattern of the old and new index is very similar over time
via Bloomberg