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The offshore renminbi exchange rate : microstructure and links to the onshore market
Cheung, Yin-Wong; Rime, Dagfinn - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We … study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset …, we find that CNH is significantly affected by its order flow and limit-order imbalance. The offshore CNH exchange rate …
Persistent link: https://www.econbiz.de/10010367171
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The renminbi central parity : an empirical investigation
Cheung, Yin-Wong; Hui, Cho H.; Tsang, Andrew - 2016
On August 11 2015, China revamped its procedure of setting the official central parity of the renminbi (RMB) against the US dollar. Our empirical investigation shows that the intertemporal dynamics of China's central parity are not the same before and after this policy change. They are more...
Persistent link: https://www.econbiz.de/10011497600
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The evolution of offshore renminbi trading : 2016 to 2019
Cheung, Yin-Wong; Grimm, Louisa; Westermann, Frank - 2020
We study the evolution of offshore renminbi trading between 2016 and 2019. The diffusion behaviour of offshore renminbi trading during this period is different from the one between 2013 and 2016. The geographical diffusion process displayed in the 2016-2019 period, in addition to the previously...
Persistent link: https://www.econbiz.de/10012234514
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International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10003891665
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Sources of real exchange rate volatility and international financial integration : a dynamic GMM panel approach
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2011
The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of international financial integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels...
Persistent link: https://www.econbiz.de/10009378390
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Global and regional financial integration in emerging Asia : evidence from stock markets
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; You, Kefei - 2017
This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean...
Persistent link: https://www.econbiz.de/10011654611
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Forecasting exchange rates : an investor perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective....
Persistent link: https://www.econbiz.de/10009743826
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Total, asymmetric and frequency connectedness between oil and forex markets
Baruník, Jozef; Kočenda, Evžen - 2019
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...
Persistent link: https://www.econbiz.de/10012035050
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Volatility connectedness on the Central European forex markets
Albrecht, Peter; Kočenda, Evžen - 2023
We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE) countries using high-frequency data from 2009 to 2022. We assess asymmetries in connectedness (not investigated for CE currencies before) and document domination of the negative...
Persistent link: https://www.econbiz.de/10014414188
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Has the euro affected the choice of invoicing currency?
Ligthart, Jenny E.; Werner, Sebastian E. V. - 2010
We present a new approach to study empirically the effect of the introduction of the euro on currency invoicing. Our approach uses a compositional multinomial logit model, in which currency choice depends on the characteristics of both the currency and the country. We use unique quarterly panel...
Persistent link: https://www.econbiz.de/10003969238