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Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020
We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US …
Persistent link: https://www.econbiz.de/10012614244
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Just how undervalued is the Chinese renminbi
Funke, Michael; Rahn, Jörg - 2004
exchange rate (BEER) and permanent equilibrium exchange rate (PEER) models.Our results suggest that, while the renminbi is …
Persistent link: https://www.econbiz.de/10012148475
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Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Colavecchio, Roberta; Funke, Michael - 2006
.The empirical results demonstrate that the renminbi non-deliverable forward (NDF) has been a driver of various Asian currency …
Persistent link: https://www.econbiz.de/10012148519
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Volatility dependence across Asia-Pacific on-shore and off-shore U.S.dollar futures markets
Colavecchio, Roberta; Funke, Michael - 2007
This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10012148539
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The undisclosed renminbi basket: are the markets telling us something about where the renminbi - US dollar exchange rate is going?
Funke, Michael; Gronwald, Marc - 2007
evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth … transition of the renminbi/U.S. dollar (RMB/USD) exchange rate using the family of time-varying autoregressive (TV-AR) models …
Persistent link: https://www.econbiz.de/10012148542
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Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets
Colavecchio, Roberta; Funke, Michael - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2007
This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides...
Persistent link: https://www.econbiz.de/10005771106
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Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures
Colavecchio, Roberta; Funke, Michael - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2006
empirical results demonstrate that the renminbi non-deliverable forward (NDF) has been a driver of various Asian currency …
Persistent link: https://www.econbiz.de/10005419581
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The Undisclosed Renminbi Basket: Are The Markets Telling Us Something About Where The Renminbi - US Dollar Exchange Rate Is Going?
Funke, Michael; Gronwald, Marc - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2007
evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth … transition of the renminbi/U.S. dollar (RMB/USD) exchange rate using the family of time-varying autoregressive (TV-AR) models …
Persistent link: https://www.econbiz.de/10005419616
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Just how undervalued is the Chinese renminbi?
Funke, Michael; Rahn, Jörg - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2004
renminbi is somewhat undervalued against the dollar, the misalignment is not nearly as exaggerated as many popular claims. …
Persistent link: https://www.econbiz.de/10005648633