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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 - 2008

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/10010264340

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

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

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

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...