The inclusion of Chinese renminbi in the Special Drawing Rights (SDR) lowers weightings of the other SDR currencies (EUR, JPY, and GBP) in the basket. Conventional wisdom suggests no material impact on those currencies. However, we find that, after the SDR adjustment, the liquidity of...

The inclusion of Chinese renminbi in the Special Drawing Rights (SDR) lowers weightings of the other SDR currencies (EUR, JPY, and GBP) in the basket. Conventional wisdom suggests no material impact on those currencies. However, we find that, after the SDR adjustment, the liquidity of...

This paper examines return spillover across China’s bond, stock, and Renminbi offshore (CNH/USD) and onshore (CNY/USD) markets. We find evidence that the major transmitting role of the exchange rate market to other markets originates from the CNH/USD market. Our result suggests that the less...

This study explores the impact of the COVID-19 pandemic on the deviations from the covered interest rate parity (CIP) for G10 currencies. We find that more COVID-19 infection cases or higher stringency index are associated with larger CIP deviations. However, this relation disappears after the...