Renminbi internationalisation has brought about an active offshore market where the exchange rate frequently diverges from the onshore market. Using extended GARCH models, we explore the role of fundamentals, global factors and policies related to renminbi internationalisation in driving the...

This paper investigates the asymmetries in arbitrage trading with onshore and offshore renminbi spot rates, focusing on the time-varying driving factors behind the deviations of the two rates from their long-run equilibrium. Fundamentally, offshore and onshore renminbi rates represent the same...

This paper investigates the asymmetries in arbitrage trading with onshore and offshore renminbi spot rates, focusing on the time-varying driving factors behind the deviations of the two rates from their long-run equilibrium. Fundamentally, offshore and onshore renminbi rates represent the same...

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

We develop an unconventional activity index for the German economy at weekly frequency in order to monitor economic developments at the current end in real time. The index contains nine high-frequency, rather unconventional weekly indicators. These are augmented by monthly industrial production...

This paper introduces a weekly GDP indicator to track real economic activity in Germany in real-time. We use a mixed-frequency dynamic factor model with quarterly, monthly, and weekly indicators and obtain the weekly GDP indicator as the weighted common component of the mixed-frequency dataset....